一种求解Lasso问题的不精确邻近梯度算法

The inexact proximal-gradient algorithm for solving Lasso problem

针对Lasso问题,基于邻近梯度法,考虑在光滑项梯度及邻近算子的计算中存在误差,提出了一种带有误差项的不精确邻近梯度算法,并在适当条件下给出该算法的收敛速度分析。数值实验结果表明,不精确邻近梯度算法求解Lasso问题是有效的。

In order to solve the Lasso problem,based on the proximal-gradient algorithm,by considering the errors in the calculation of the gradient of the smooth term and in the proximity operator,an inexact proximal-gradient algorithm with errors is proposed,and analyse the convergence rate analysis of the algorithm under mild conditions.Numerical experiments show that the inexact proximal-algorithm is effective for solving Lasso problem.