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Group descent algorithms for nonconvex penalized linear and logistic regression models with grouped predictors
Group descent algorithms nonconvex penalized linear model logistic regression model grouped predictors
2012/11/22
Penalized regression is an attractive framework for variable selection problems. Often, variables possess a grouping structure, and the relevant selection problem is that of selecting groups, not indi...
A Note on Sparse Minimum Variance Portfolios and Coordinate-Wise Descent Algorithms
Minimum Variance Portfolios Coordinate-Wise Descent Algorithms
2010/10/20
In this short report, we discuss how coordinate-wise descent algorithms can be used to solve minimum variance portfolio (MVP) problems in which the portfolio weights are constrained by $l_{q}$ norms,...