Simultaneous support recovery in high dimensions: Benefits and perils of block ${\ell }_1/{\ell }_{\infty }$-regularization

S. Negahban, M. J. Wainwright

Consider the use of ${\ell }_1/{\ell }_{\infty }$-regularized regression for joint estimation of a $\pdim \times \numreg$ matrix of regression coefficients. We analyze the high-dimensio…