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Pré-Publication, Document De Travail Année : 2023

The Solution Path of SLOPE

Résumé

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. We provide in this article an algorithm to compute the solution path of SLOPE.
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Dates et versions

hal-04100441 , version 1 (17-05-2023)
hal-04100441 , version 2 (28-10-2023)

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  • HAL Id : hal-04100441 , version 2

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Xavier Dupuis, Patrick J C Tardivel. The Solution Path of SLOPE. 2023. ⟨hal-04100441v2⟩
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