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stat.ML2020
Model identification and local linear convergence of coordinate descent
Quentin Klopfenstein, Quentin Bertrand, Alexandre Gramfort +2
For composite nonsmooth optimization problems, Forward-Backward algorithm achieves model identification (e.g. support identification for the Lasso) after a finite number of iterati…
stat.ML2020
Implicit differentiation of Lasso-type models for hyperparameter optimization
Quentin Bertrand, Quentin Klopfenstein, Mathieu Blondel +3
Setting regularization parameters for Lasso-type estimators is notoriously difficult, though crucial in practice. The most popular hyperparameter optimization approach is grid-sear…