GSO Spring Speaker 2011


The Lasso: Some Novel Algorithms and Applications

Rob Tibshirani
Department of Statistics, Stanford University

Start Date and Time: Fri, 11 Feb 2011, 10:30 AM

End Date and Time: Fri, 11 Feb 2011, 12:00 PM

Venue: LWSN 1142


I will discuss some procedures for modeling high-dimensional data, based on L1 (lasso)-style penalties. I will describe pathwise coordinate descent algorithms for the lasso, which are remarkably fast and facilitate application of the methods to very large datasets for the first time. I will then give examples of new applications of L1 penalties to microarray classification, the fused lasso for signal detection and the matrix completion problem. 

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