[Statlist] Reminder ETH/UZH Research Seminar on Statistics by Boaz Nadler, The Weizmann Institute of Science, Israel, 28.03.2023

[Maurer Letizia]

We are glad to announce the following talk in the ETH/UZH Research Seminar on Statistics: 

"The Trimmed Lasso: Sparse Recovery Guarantees And Practical Optimization"   

by Boaz Nadler, The Weizmann Institute of Science, Israel

Time: Tuesday,  28.03.2023 at 13.15 h
Place: ETH Zurich, HG G 19.2

Abstract: Consider the sparse approximation or best subset selection problem: Given a vector y and a matrix A, find a k-sparse vector x that minimizes the residual ||Ax-y||. This sparse linear regression problem, and related variants, plays a key role in high dimensional statistics, compressed sensing, and more. In this talk we focus on the trimmed lasso penalty, defined as the L_1 norm of x minus the L_1 norm of its top k entries in absolute value. We advocate using this penalty by deriving sparse recovery guarantees for it, and by presenting a practical approach to optimize it. Our computational approach is based on the generalized soft-min penalty, a smooth surrogate that takes into account all possible k-sparse patterns. We derive a polynomial time algorithm to compute it, which in turn yields a novel method for the best subset selection problem. Numerical simulations illustrate its competitive performance compared to current state of the art.


Seminar website: https://math.ethz.ch/sfs/news-and-events/research-seminar.html

Research Seminar – Seminar for Statistics | ETH Zurich
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