Convex vs Non-Convex Estimators for Regression and Sparse Estimation: The Mean Squared Error Properties of ARD and GLasso. Aravkin, A., Burke, J. V., Chiuso, A., & Pillonetto, G. Journal of Machine Learning Research, 15:217–252, 2014.
Convex vs Non-Convex Estimators for Regression and Sparse Estimation: The Mean Squared Error Properties of ARD and GLasso [link]Paper  bibtex   
@Article{Aravkin14,
  author       = {Aleksandr Aravkin and James V. Burke and Alessandro Chiuso and Gianluigi Pillonetto},
  title        = {Convex vs Non-Convex Estimators for Regression and Sparse Estimation: {The} Mean Squared Error Properties of {ARD} and {GLasso}},
  volume       = {15},
  pages        = {217--252},
  year         = {2014},
  journal = {Journal of Machine Learning Research},
  url          = {http://jmlr.org/papers/v15/aravkin14a.html},
}

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