GSDAR: a fast Newton algorithm for l(0) regularized generalized linearmodels with statistical guarantee

Huang, J; Jiao, YL; Kang, LC; Liu, J; Liu, YY; Lu, XL

Huang, J (corresponding author), Univ Iowa, Dept Stat & Actuarial Sci, Iowa City, IA 52242 USA.; Liu, YY (corresponding author), Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China.

COMPUTATIONAL STATISTICS, ; ():

Abstract

We propose a fast Newton algorithm for l(0) regularized high-dimensional generalized linear models based on support detection and root finding. We ref......

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