Parametric Simplex Method for Sparse Learning
Coef function for S3 class "primal"
Solve given compressed sensing problem in parametric simplex method
Solve given Dantzig selector problem in parametric simplex method
Plot function for S3 class "primal"
Parametric Simplex Method for Sparse Learning
Print function for S3 class "primal"
Solve given problem in parametric simplex method
Solve given quantile regression problem in parametric simplex method
Solve given Sparse SVM problem in parametric simplex method
Implements a unified framework of parametric simplex method for a variety of sparse learning problems (e.g., Dantzig selector (for linear regression), sparse quantile regression, sparse support vector machines, and compressive sensing) combined with efficient hyper-parameter selection strategies. The core algorithm is implemented in C++ with Eigen3 support for portable high performance linear algebra. For more details about parametric simplex method, see Haotian Pang (2017) <https://papers.nips.cc/paper/6623-parametric-simplex-method-for-sparse-learning.pdf>.