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The deterministic lasso

Date: 
Monday 7th January 2008 - 11:30 to 12:30
Venue: 
INI Seminar Room 1
Session Chair: 
Mike Titterington
Abstract: 

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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Presentation Material: 
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons