Zhiqi Bu
Algorithmic Analysis and Statistical Estimation of SLOPE via Approximate Message Passing
Zhiqi Bu, Jason Klusowski, Cynthia Rush, Weijie Su
In this paper, we develop an asymptotically exact characterization of the SLOPE solution under Gaussian random designs through solving the SLOPE problem using approximate message passing (AMP). This algorithmic approach allows us to approximate the SLOPE solution via the much more amenable AMP iterates.
Algorithmic Analysis and Statistical Estimation of SLOPE via Approximate Message Passing
Zhiqi Bu, Jason Klusowski, Cynthia Rush, Weijie Su
In this paper, we develop an asymptotically exact characterization of the SLOPE solution under Gaussian random designs through solving the SLOPE problem using approximate message passing (AMP). This algorithmic approach allows us to approximate the SLOPE solution via the much more amenable AMP iterates.