4 papers
The Efficient Frontier from a LASSO Solver
Thomas Schmelzer
Schmelzer and Hastie prove that Markowitz's Critical Line Algorithm and the LASSO path trace the same curve. This companion note checks that result numerically with a stock LASSO s…
The Critical Line Algorithm and the Constrained LASSO: One Curve, Two Literatures
Thomas Schmelzer, Trevor Hastie
Many statistical procedures compute an entire solution path rather than a single estimator. For one class the path is piecewise linear, traced corner to corner by an active-set hom…
Goldfarb-Idnani Revisited:Invariants, Certificates, and the Limits of Guessing
Thomas Schmelzer, Martin Stoll
The dual active-set method of Goldfarb and Idnani solves the strictly convex quadratic program by adding and dropping one constraint at a time, requiring no phase one. Primal--dual…
Non-Negative Conjugate Gradients
Thomas Schmelzer, Martin Stoll
The conjugate gradient method (CG) solves a symmetric positive definite (SPD) system , but does not respect . We develop non-negative conjugate gradients, a solver fo…