An ADMM with continuation algorithm for non-convex SICA-penalized regression in high dimensions
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DOI: 10.1080/00949655.2018.1448397
Abstract: Abstract The smooth integration of counting and absolute deviation (SICA) penalty has been demonstrated theoretically and practically to be effective in non-convex penalization for variable selection. However, solving the non-convex optimization problem associated with the… read more here.
Keywords: sica penalized; convex; high dimensions; continuation algorithm ... See more keywords