High-Dimensional Fused Lasso Regression Using Majorization–Minimization and Parallel Processing
High-Dimensional Fused Lasso Regression Using Majorization–Minimization and Parallel Processing
In this article, we propose a majorization–minimization (MM) algorithm for high-dimensional fused lasso regression (FLR) suitable for parallelization using graphics processing units (GPUs). The MM algorithm is stable and flexible as it can solve the FLR problems with various types of design matrices and penalty structures within a few tens …