Piecewise linear regularized solution paths

Saharon Rosset, Ji Zhu

We consider the generic regularized optimization problem $\hat{\beta }(\lambda )=\arg {\min }_{\beta }L(\mathsf{y},X\beta )+\lambda J(\beta )$. Efron, Hastie, Johnstone and Tibshirani [Ann. Statist. 32 (2…