2021-02-26

the Lasso as an optimizer

In group meeting, and other conversations today, I asked about how to optimize very large parameter vector, when my problem is convex but has an L1 term in the norm. Both Gaby Contardo (Flatiron) and Soledad Villar (JHU) said: Use the standard Lasso optimizer. At first I thought “but my problem doesn't have exactly the Lasso form!”. But then I realized that it is possible to manipulate the operators I have so that it has exactly the Lasso form, and then I can just use a standard Lasso optimizer! So I'm good and I can proceed.

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