The deterministic lasso
Seminar Room 1, Newton Institute
We study high-dimensional generalized linear models. and risk minimization using the Lasso. The risk is taken under a random probability measure P' and the target is an overall minimizer of the risk under some other nonrandom probability measure P. We restrict ourselves to a set S where P' and P are close to each other, and present an oracle inequality under a so-called compatibility condition between the L_2 norm and l_1 norm.
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