Smoothing ADMM for Sparse-Penalized Quantile Regression with Non-Convex Penalties

Reza Mirzaeifard, Naveen K. D. Venkategowda, Vinay Chakravarthi Gogineni +1

This paper investigates quantile regression in the presence of non-convex and non-smooth sparse penalties, such as the minimax concave penalty (MCP) and smoothly clipped absolute d…