Efficient Sparse Semismooth Newton Methods for the Clustered Lasso Problem
Efficient Sparse Semismooth Newton Methods for the Clustered Lasso Problem
We focus on solving the clustered Lasso problem, which is a least squares problem with the $\ell_1$-type penalties imposed on both the coefficients and their pairwise differences to learn the group structure of the regression parameters. Here we first reformulate the clustered Lasso regularizer as a weighted ordered-Lasso regularizer, which …