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Pré-Publication, Document De Travail Année : 2023

A Review on the Adaptive-Ridge Algorithm with several extensions

Rémy Abergel
Olivier Bouaziz
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Résumé

The Adaptive Ridge Algorithm is an iterative algorithm designed for variable selection. It is also known under the denomination of Iteratively Reweighted Least-Squares Algorithm in the communities of Compressed Sensing and Sparse Signals Recovery. Besides, it can also be interpreted as an optimization algorithm dedicated to the minimization of possibly nonconvex q penalized energies (with 0 < q < 2). In the literature, this algorithm can be derived using various mathematical approaches, namely Half Quadratic Minimization, Majorization-Minimization, Alternating Minimization or Local Approximations. In this work, we will show how the Adaptive Ridge Algorithm can be simply derived and analyzed from a single equation, corresponding to a variational reformulation of the q penalty. We will describe in detail how the Adaptive Ridge Algorithm can be numerically implemented and we will perform a thorough experimental study of its parameters. We will also show how the variational formulation of the q penalty combined with modern duality principles can be used to design an interesting variant of the Adaptive Ridge Algorithm dedicated to the minimization of quadratic functions over (nonconvex) q balls.
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Dates et versions

hal-04051929 , version 1 (30-03-2023)

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  • HAL Id : hal-04051929 , version 1

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Rémy Abergel, Olivier Bouaziz, Grégory Nuel. A Review on the Adaptive-Ridge Algorithm with several extensions. 2023. ⟨hal-04051929⟩
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