<i>SparseNet</i>: Coordinate Descent With Nonconvex Penalties
<i>SparseNet</i>: Coordinate Descent With Nonconvex Penalties
We address the problem of sparse selection in linear models. A number of nonconvex penalties have been proposed in the literature for this purpose, along with a variety of convex-relaxation algorithms for finding good solutions. In this article we pursue a coordinate-descent approach for optimization, and study its convergence properties. …