DPC (DPP) Screening Methods for Nonnegative Lasso
References
Formulation of Nonnegative LassoLet denote the dimensional response vector and be the feature matrix. Let be the regularization parameter. The nonnegative Lasso problem is formulated as the following optimization problem: where is the set of all vectors in with nonnegative components. The dual problem of nonnegative Lasso is We denote the primal and dual optimal solutions of nonnegative Lasso by and , respectively, which depend on the value of . and are related by Moreover, it is easy to see that the dual optimal solution is the projection of onto the dual feasible set, which is a polytope. Enhanced DPP (EDPP) rule for nonnegative LassoLet us define For all , we have In other words, the nonnegative Lasso problem admits closed form solutions when . Let and . We define EDPP Screening Rule for nonnegative Lasso
A Few More Comments of EDPP
