Recursive $\ell_{1,\infty}$ Group lasso

Details Recursive $\ell_{1,\infty}$ Group lasso Recursive $\ell_{1,\infty}$ Group lasso

2011-01-29

arxiv.org/abs/1101.5734v1

Statistics

Methodology

8 pages, double column, 6 figures

Scientific paper

We introduce a recursive adaptive group lasso algorithm for real-time penalized least squares prediction that produces a time sequence of optimal sparse predictor coefficient vectors. At each time index the proposed algorithm computes an exact update of the optimal $\ell_{1,\infty}$-penalized recursive least squares (RLS) predictor. Each update minimizes a convex but nondifferentiable function optimization problem. We develop an online homotopy method to reduce the computational complexity. Numerical simulations demonstrate that the proposed algorithm outperforms the $\ell_1$ regularized RLS algorithm for a group sparse system identification problem and has lower implementation complexity than direct group lasso solvers.

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