Group lasso with overlap and graph lasso

  • Authors:
  • Laurent Jacob;Guillaume Obozinski;Jean-Philippe Vert

  • Affiliations:
  • Institut Curie, Paris cedex, France;Ecole Normale Supérieure, Paris cedex, France;Institut Curie, Paris cedex, France

  • Venue:
  • ICML '09 Proceedings of the 26th Annual International Conference on Machine Learning
  • Year:
  • 2009

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Abstract

We propose a new penalty function which, when used as regularization for empirical risk minimization procedures, leads to sparse estimators. The support of the sparse vector is typically a union of potentially overlapping groups of co-variates defined a priori, or a set of covariates which tend to be connected to each other when a graph of covariates is given. We study theoretical properties of the estimator, and illustrate its behavior on simulated and breast cancer gene expression data.