@article{58891ae01b894c7d867aa508338e509f,
title = "The Linearized Alternating Direction Method of Multipliers for Dantzig Selector",
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.",
keywords = "Alternating direction method of multipliers, Dantzig selector, Linear regression, Linearized",
author = "Xiangfeng Wang and Xiaoming Yuan",
note = "Funding information: Department of Mathematics, Nanjing University, 22 Hankou Road, Nanjing, 210093, People{\textquoteright}s Republic of China (
[email protected]). This author{\textquoteright}s work was supported by NSFC grant 91130007. ^ Corresponding author. Department of Mathematics, Hong Kong Baptist University, Kowloon Tong, Hong Kong, People{\textquoteright}s Republic of China (
[email protected]). This author{\textquoteright}s work was supported by the Hong Kong General Research Fund, 203311. Publisher copyright: {\textcopyright} 2012, Society for Industrial and Applied Mathematics",
year = "2012",
month = oct,
day = "18",
doi = "10.1137/110833543",
language = "English",
volume = "34",
pages = "A2792--A2811",
journal = "SIAM Journal on Scientific Computing",
issn = "1064-8275",
publisher = "Society for Industrial and Applied Mathematics (SIAM)",
number = "5",
}