Safe screening tests for LASSO based on firmly non-expansiveness

Abstract

This paper focusses on safe screening techniques for the LASSO problem. We derive a new sphere test, coined RFNE, exploiting the firmly non-expansiveness of projection operators. Our test generalizes some methods of the literature but, unlike the latter, exploits approximated primal-dual solutions of the LASSO problem while remaining safe and effective. Our simulation results show that the proposed RFNE test outperforms the best methodology of the state of the art, namely the GAP test derived by Fercoq et al.