Damian Brzyski

Fast Saddle-Point Algorithm for Generalized Dantzig Selector and FDR Control with Ordered L1-Norm

In this paper we propose a primal-dual proximal extragradient algorithm to solve the generalized Dantzig selector (GDS) estimation problem, based on a new convex-concave saddle-point (SP) reformulation. Our new formulation makes it possible to adopt recent developments in saddle-point optimization,…