Robust Regression and Lasso

We consider robust least-squares regression with feature-wise disturbance. We show that this formulation leads to tractable convex optimization problems, and we exhibit a particular uncertainty set for which the robust problem is equivalent to \ell_1 regularized regression (Lasso). This provides an interpretation of Lasso from a robust optimization perspective. We generalize this robust formulation to consider more general uncertainty sets, which all lead to tractable convex optimization problems. Therefore, we provide a new methodology for designing regression algorithms, which generalize known formulations.