Strong Rules for Discarding Predictors in Lasso-Type Problems
Strong Rules for Discarding Predictors in Lasso-Type Problems
We consider rules for discarding predictors in lasso regression and related problems, for computational efficiency. El Ghaoui and his colleagues have propose 'SAFE' rules, based on univariate inner products between each predictor and the outcome, which guarantee that a coefficient will be 0 in the solution vector. This provides a …