An Alternating Direction Method of Multipliers Algorithm for the Weighted Fused LASSO Signal Approximator

Louis Dijkstra, Moritz Hanke, Niklas Koenen +1

We present an Alternating Direction Method of Multipliers (ADMM) algorithm designed to solve the Weighted Generalized Fused LASSO Signal Approximator (wFLSA). First, we show that w…