Fabian Wauthier

A Greedy Homotopy Method for Regression with Nonconvex Constraints

The goal of this paper is to estimate sparse linear regression models, where for a given partition \mathcalG of input variables, the selected variables are chosen from a \it diverse set of groups in \mathcalG. We consider a novel class of nonconvex constraint functions, and develop RepLasso, a greed…