\documentclass[11pt]{article} \setlength{\oddsidemargin}{0.0truein} \setlength{\evensidemargin}{0.0truein} \setlength{\textwidth}{6.5truein} \setlength{\topmargin}{0.0truein} \setlength{\textheight}{9.0truein} \setlength{\headsep}{0.0truein} \setlength{\headheight}{0.0truein} \setlength{\topskip}{10.0pt} \setlength{\parskip}{5mm} \usepackage{url} \usepackage{amsmath} \usepackage{amssymb} \pagestyle{empty} \begin{document} \begin{center} \textbf{\Large{\textsc{STANFORD UNIVERSITY}}}\\[5pt] \textbf{\Large{\textsc{DEPARTMENT OF STATISTICS}}}\\[5pt] \Large{\textsc{DEPARTMENTAL SEMINAR}} \end{center} \begin{center} 4:15pm, Tuesday, May 15, 2007\\ Sequoia Hall Room 200\\ (Cookies at 3:45 in 1st Floor Lounge) \end{center} \begin{center} \textsl{Rob Tibshirani} \\ Department of Statistics\\ Stanford University \end{center} % In the following statements, replace "Title of the talk" % with your title of the talk. \begin{center} \subsection*{Pathwise coordinate optimization} \end{center} I consider ``one-at-a-time'' coordinate-wise descent algorithms for a class of convex optimization problems. An algorithm of this kind has been proposed for the L$_1$-penalized regression (lasso) in the literature, but it seems to have been largely ignored. Indeed, it seems that coordinate-wise algorithms are not often used in convex optimization. I show that this algorithm is very competitive with the well known LARS (or homotopy) procedure in large lasso problems, and that it can be applied to related methods such as the garotte and elastic net. It turns out that coordinate-wise descent does not work in the ``fused lasso'' however, so we derive a generalized algorithm that yields the solution in much less time that a standard convex optimizer. Finally we generalize the procedure to the two-dimensional fused lasso, and demonstrate its performance on some image smoothing problems. This is joint work wth Jerome Friedman and Trevor Hastie \noindent \end{document}