An Alternating Direction Method for Finding Dantzig Selectors

Details An Alternating Direction Method for Finding Dantzig Selectors An Alternating Direction Method for Finding Dantzig Selectors

2010-11-20

arxiv.org/abs/1011.4604v1

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13 pages, 4 figures

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In this paper, we study the alternating direction method for finding the Dantzig selectors, which are first introduced in [8]. In particular, at each iteration we apply the nonmonotone gradient method proposed in [17] to approximately solve one subproblem of this method. We compare our approach with a first-order method proposed in [3]. The computational results show that our approach usually outperforms that method in terms of CPU time while producing solutions of comparable quality.

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