Year: 2022
Type: article
Abstract: E criterion. We adopt the majorization-minimization (MM) principle to design a new algorithm for updating the vector of regression coefficients. Our sharp majorization achieves faster convergence than the previous alternating proximal gradient descent algorithm (Chi and Chi, 2022). In addition, we reparameterize the model by substituting precision for scale and estimate precision via a modified Newton's method. This simplifies and accelerates overall estimation. We also introduce distance-to-set penalties to enable constrained estimation under nonconvex constraint sets. This tactic also improves performance in coefficient estimation and structure recovery. Finally, we demonstrate the merits of our improved tactics through a rich set of simulation examples and a real data application.
Source: Technometrics
Authors: Xiaoqian Liu, Eric C. Chi, Kenneth Lange
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W4293116277