The Trimmed Lasso: Sparse Recovery Guarantees and Practical Optimization by the Generalized Soft-Min Penalty

Tal Amir, Ronen Basri, Boaz Nadler

We present a new approach to solve the sparse approximation or best subset selection problem, namely find a $k$-sparse vector $\mathbf{x}\in {\mathbb{R}}^d$ that minimizes the ${\ell }_2$ r…