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stat.ML2021
Look-Ahead Screening Rules for the Lasso
Johan Larsson
The lasso is a popular method to induce shrinkage and sparsity in the solution vector (coefficients) of regression problems, particularly when there are many predictors relative to…
stat.ML2021
The Hessian Screening Rule
Johan Larsson, Jonas Wallin
Predictor screening rules, which discard predictors before fitting a model, have had considerable impact on the speed with which sparse regression problems, such as the lasso, can…