An alternating direction method for finding Dantzig selectors

Zhaosong Lu, Ting Kei Pong, Yong Zhang

Research output: Journal article publicationJournal articleAcademic researchpeer-review

20 Citations (Scopus)

Abstract

In this paper, we study the alternating direction method for finding the Dantzig selectors, which are first introduced in Candès and Tao (2007a). In particular, at each iteration we apply the nonmonotone gradient method proposed in Lu and Zhang (in press) to approximately solve one subproblem of this method. We compare our approach with a first-order method proposed in Becker et al. (2011). The computational results show that our approach usually outperforms that method in terms of CPU time while producing solutions of comparable quality.
Original languageEnglish
Pages (from-to)4037-4046
Number of pages10
JournalComputational Statistics and Data Analysis
Volume56
Issue number12
DOIs
Publication statusPublished - 1 Dec 2012
Externally publishedYes

Keywords

  • Alternating direction method
  • Dantzig selector
  • Gradient method
  • Nonomonotone line search

ASJC Scopus subject areas

  • Statistics and Probability
  • Computational Theory and Mathematics
  • Computational Mathematics
  • Applied Mathematics

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