High Dimensional Robust Sparse Regression

29 May 2018Liu LiuYanyao ShenTianyang LiConstantine Caramanis

We provide a novel -- and to the best of our knowledge, the first -- algorithm for high dimensional sparse regression with constant fraction of corruptions in explanatory and/or response variables. Our algorithm recovers the true sparse parameters with sub-linear sample complexity, in the presence of a constant fraction of arbitrary corruptions... (read more)

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