Weakly decomposable regularization penalties and structured sparsity
Weakly decomposable regularization penalties and structured sparsity
ABSTRACT It has been shown in literature that the Lasso estimator, or ℓ 1 ‐penalized least squares estimator, enjoys good oracle properties. This paper examines which special properties of the ℓ 1 ‐penalty allow for sharp oracle results, and then extends the situation to general norm‐based penalties that satisfy a …