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We introduce a pathwise algorithm for the Cox proportional hazards model, regularized by convex combinations of `1 and `2 penalties (elastic net). Our algorithm fits via cyclical coordinate descent, a...
We address the problem of sparse selection in linear models. A number of non-convex penalties have been proposed in the literature for this purpose, along with a variety of convex-relaxation algorithm...
In this paper we analyze the randomized block-coordinate descent (RBCD) methods proposed in [8,11] for minimizing the sum of a smooth convex function and a block-separable convex function. In particul...
In this paper we develop a randomized block-coordinate descent method for minimizing the sum of a smooth and a simple nonsmooth block-separable convex function and prove that it obtains an $\epsilon$-...
Abstract: In this paper we develop a randomized block-coordinate descent method for minimizing the sum of a smooth and a simple nonsmooth block-separable convex function and prove that it obtains an $...

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