The solution path of the Sorted L One Penalized Estimation (SLOPE) (Patrick Tardivel, Université de Dijon)

19.09.2023 14:00

The SLOPE estimator has the particularity of having null components (sparsity) and components that are equal in absolute value (clustering).
The number of clusters depends on the regularization parameter of the estimator. This parameter can be chosen as a trade-off between interpretability (with a small number of clusters) and accuracy (with a small mean squared error or a small prediction error). Finding such a compromise requires to compute the solution path, that is the function mapping the regularization parameter to the estimator.
During this presentation I will provide some theoretical results on the solution path of SLOPE as well as a numerical scheme to solve this path.

Lieu

Bâtiment: Conseil Général 7-9

Room 1-05, Séminaire d'analyse numérique

entrée libre