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JMLR
2010

Exploiting Covariate Similarity in Sparse Regression via the Pairwise Elastic Net

11 years 4 days ago
Exploiting Covariate Similarity in Sparse Regression via the Pairwise Elastic Net
A new approach to regression regularization called the Pairwise Elastic Net is proposed. Like the Elastic Net, it simultaneously performs automatic variable selection and continuous shrinkage. In addition, the Pairwise Elastic Net encourages the grouping of strongly correlated predictors based on a pairwise similarity measure. We give examples of how the approach can be used to achieve the objectives of Ridge regression, the Lasso, the Elastic Net, and Group Lasso. Finally, we present a coordinate descent algorithm to solve the Pairwise Elastic Net.
Alexander Lorbert, David Eis, Victoria Kostina, Da
Added 19 May 2011
Updated 19 May 2011
Type Journal
Year 2010
Where JMLR
Authors Alexander Lorbert, David Eis, Victoria Kostina, David M. Blei, Peter J. Ramadge
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