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The Lasso: some novel algorithms and applications

Presented by: 
R Tibshirani [Stanford]
Date: 
Wednesday 25th June 2008 - 09:00 to 10:00
Venue: 
INI Seminar Room 1
Session Chair: 
John Rice
Abstract: 

I will discuss some procedures for modelling high-dimensional data, based on L1 (lasso) -style penalties. I will describe pathwise coordinate descent algorithms for the lasso, which are remarkably fast and facilitate application of the methods to very large datasets for the first time. I will then give examples of new applications of the methods to microarray classification, undirected graphical models for cell pathways, and the fused lasso for signal detection, including comparative genomic hybridization.

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