The use of M-estimators in generalized linear regression models in high dimensional settings requires risk minimization with hard $L_0$ constraints. Of the known methods, the class of projected gradient descent (also known as iterative hard thresholding (IHT)) methods is known to offer the fastest and most scalable solutions... (read more)
PDF Abstract NeurIPS 2014 PDF NeurIPS 2014 AbstractMETHOD | TYPE | |
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Generalized Linear Models |