Consider the following problem of L1-regularization, i.e., minimize for i=1 to n

Operations Research : Applications and Algorithms
4th Edition
ISBN:9780534380588
Author:Wayne L. Winston
Publisher:Wayne L. Winston
Chapter11: Nonlinear Programming
Section11.9: The Kuhn–tucker Conditions
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Consider the following problem of L1-regularization, i.e., minimize for i=1 to n
* 2
LR(0; ) = H;; (0; - 0; )¯ + a | 0; | where all H;; > 0,
and a is the L1 regularization constant. Find the smallest value of a (in terms of H;; and 0; ) so that the optimal regularized solution to the
given minimization problem, 0;= 0 for all i.
14
Transcribed Image Text:Consider the following problem of L1-regularization, i.e., minimize for i=1 to n * 2 LR(0; ) = H;; (0; - 0; )¯ + a | 0; | where all H;; > 0, and a is the L1 regularization constant. Find the smallest value of a (in terms of H;; and 0; ) so that the optimal regularized solution to the given minimization problem, 0;= 0 for all i. 14
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