Joint Screening Tests for LASSO
This work addresses computational efficiency in sparse regression for researchers and practitioners, but it is incremental as it builds on existing safe screening techniques.
The paper tackles the need for low-complexity algorithms in LASSO by proposing a 'joint' screening test that screens multiple atoms with a single test, applied to sphere and dome regions.
This paper focusses on "safe" screening techniques for the LASSO problem. Motivated by the need for low-complexity algorithms, we propose a new approach, dubbed "joint" screening test, allowing to screen a set of atoms by carrying out one single test. The approach is particularized to two different sets of atoms, respectively expressed as sphere and dome regions. After presenting the mathematical derivations of the tests, we elaborate on their relative effectiveness and discuss the practical use of such procedures.