摘要
广义Dantzig选择器问题是解决参数估计的有效途径,其中任何范数都可以用于估计.本文采用对偶交替方向乘子法(dual Alternating Direction Method of Multipliers,简称dADMM)求解e_(1)范数,e_(2)范数和e_(∞)范数广义Dantzig选择器问题,并给出了dADMM的全局收敛性和局部线性收敛速度.数值试验验证了dADMM的有效性.
The generalized Dantzig selector problem is an effective approach to solve the parameter estimation,where any norm can be used to estimate.This paper adopts a dual alternating direction method of multipliers(dADMM for short)to solve the e_(1),e_(2) and e_(∞) generalized Dantzig selector.The global convergence and local linear convergence rate of dADMM are presented.Numerical experiments demonstrate the effectiveness of the dADMM.
作者
何文伶
王承竞
王硕
唐培培
He Wenling;Wang Chengjing;Wang Shuo;Tang Peipei(School of Mathematics,Southwest Jiaotong University,Chengdu 611731,China;School of Computer and Computational Sciences,Zhejiang University City College,Hangzhou 311015,China)
出处
《数值计算与计算机应用》
2023年第2期214-224,共11页
Journal on Numerical Methods and Computer Applications
关键词
广义Dantzig选择器
增广拉格朗日函数方法
交替方向乘子法
Generalized Dantzig selector
Augmented Lagrangian function method
Alternating direction method of multipliers
