Sample average approximation with heavier tails II: localization in stochastic convex optimization and persistence results for the Lasso.
Roberto I. OliveiraPhilip ThompsonPublished in: Math. Program. (2023)
Keyphrases
- convex optimization
- sample average approximation
- stochastic model
- group lasso
- optimality conditions
- basis pursuit
- interior point methods
- low rank
- primal dual
- total variation
- convex optimization problems
- feature selection
- convex sets
- variable selection
- sample size
- sparse representation
- pairwise
- alternating direction method of multipliers
- objective function