Characterizing the SLOPE Trade-off: A Variational Perspective and the Donoho-Tanner Limit

1 code implementation • 27 May 2021 • Zhiqi Bu, Jason Klusowski, Cynthia Rush, Weijie J. Su

Sorted l1 regularization has been incorporated into many methods for solving high-dimensional statistical estimation problems, including the SLOPE estimator in linear regression.

Variable Selection

Algorithmic Analysis and Statistical Estimation of SLOPE via Approximate Message Passing

1 code implementation • NeurIPS 2019 • Zhiqi Bu, Jason Klusowski, Cynthia Rush, Weijie Su

SLOPE is a relatively new convex optimization procedure for high-dimensional linear regression via the sorted l1 penalty: the larger the rank of the fitted coefficient, the larger the penalty.