2020
DOI: 10.1101/2020.03.06.980953
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A fast and efficient smoothing approach to Lasso regression and an application in statistical genetics: polygenic risk scores for chronic obstructive pulmonary disease (COPD)

Abstract: We consider solving a high dimensional linear regression problem, using LASSO to account for sparsity. Though the LASSO objective function is convex, it is not differentiable everywhere, making the use of gradient descent methods for minimization not straightforward. To avoid this technical issue, we suggest to use Nesterov smoothing of the LASSO objective function which enables us to compute closed form derivatives for efficient and fast minimization. The contribution of this work is threefold: (1) We propose… Show more

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Cited by 3 publications
(9 citation statements)
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References 16 publications
(25 reference statements)
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“…Section 2.2 applies the Nesterov methodology to Lassosum and introduces our proposed smoothed Lassosum objective function. The proposed smoothed Lassosum actually follows from the more general framework of Hahn et al (2020a,b). We demonstrate this in Section 2.3, where we also state the theoretical guarantees following from the framework.…”
Section: Methodsmentioning
confidence: 99%
See 4 more Smart Citations
“…Section 2.2 applies the Nesterov methodology to Lassosum and introduces our proposed smoothed Lassosum objective function. The proposed smoothed Lassosum actually follows from the more general framework of Hahn et al (2020a,b). We demonstrate this in Section 2.3, where we also state the theoretical guarantees following from the framework.…”
Section: Methodsmentioning
confidence: 99%
“…The first derivative of is explicitly given by see also Hahn et al (2020a,b), from which the closed-form gradient of the smoothed Lassosum objective function of eq. (7) immediately follows as …”
Section: Methodsmentioning
confidence: 99%
See 3 more Smart Citations