An Adaptive Ridge Procedure for L0 Regularization and Applications

schedule le mardi 13 février 2018 de 12h00 à 13h00

Organisé par : I. Castillo, A. Fischer, E. Roquain, M. Sangnier

Intervenant : Gregory Nuel (Sorbonne Université - CNRS)
Lieu : Paris-Diderot, salle 2015

Sujet : An Adaptive Ridge Procedure for L0 Regularization and Applications

Résumé :
We present here a recently published approach (Frommlet and N., 2016) which purpose is to perform L0-penalized maximization by iteratively solving a weight ridge problem. The approach is very similar in the spirit and method to the (multi-step) adaptive LASSO, with the noticeable difference that the ridge problem is generally much easier to solve than the lasso one. We illustrate the method on simple generalized linear models and then consider various more sophisticated applications: estimation of piecewise constant hazard model in survival analysis, irregular histograms, and image segmentation.