An alternating direction method for finding Dantzig selectors

Zhaosong Lu, Ting Kei Pong, Yong Zhang

Research output: Contribution to journalArticlepeer-review

20 Scopus citations

Abstract

In this paper, we study the alternating direction method for finding the Dantzig selectors, which are first introduced in Candès and Tao (2007a). In particular, at each iteration we apply the nonmonotone gradient method proposed in Lu and Zhang (in press) to approximately solve one subproblem of this method. We compare our approach with a first-order method proposed in Becker et al. (2011). The computational results show that our approach usually outperforms that method in terms of CPU time while producing solutions of comparable quality.

Original languageEnglish (US)
Pages (from-to)4037-4046
Number of pages10
JournalComputational Statistics and Data Analysis
Volume56
Issue number12
DOIs
StatePublished - Dec 2012
Externally publishedYes

Bibliographical note

Funding Information:
This work is supported by NSERC Discovery Grant.

Copyright:
Copyright 2012 Elsevier B.V., All rights reserved.

Keywords

  • Alternating direction method
  • Dantzig selector
  • Gradient method
  • Nonomonotone line search

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