The linearized alternating direction method of multipliers for Dantzig selector

Xiangfeng Wang*, Xiaoming YUAN

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

49 Citations (Scopus)

Abstract

The Dantzig selector was recently proposed to perform variable selection and model fitting in the linear regression model. It can be solved numerically by the alternating direction method of multipliers (ADM); and in this paper, we show that the application of ADM to the Dantzig selector can be speeded up significantly if one of its resulting subproblems at each iteration is linearized. The resulting linearized ADM for the Dantzig selector is shown to be efficient for solving both synthetic and real world data sets.

Original languageEnglish
Pages (from-to)A2792-A2811
JournalSIAM Journal of Scientific Computing
Volume34
Issue number5
DOIs
Publication statusPublished - 2012

Scopus Subject Areas

  • Computational Mathematics
  • Applied Mathematics

User-Defined Keywords

  • Alternating direction method of multipliers
  • Dantzig selector
  • Linear regression
  • Linearized

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