Sparse regression and things that look a bit like it.

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Related to compressed sensing but here we consider sampling complexity and the effect of measurement noise.

See also matrix factorisations,
optimisation,
model selection,
multiple testing,
concentration inequalities,
sparse flavoured icecream.

To discuss:

LARS, LASSO, de-biassed LASSO, Elastic net, etc.

Implementations

I’m not going to mention LASSO in (generalised) linear regression,
since everything does that these days (Oh alright,
Jerome Friedman’s glmnet for R is the fastest,
and has a MATLAB version.

But SPAMS (C++, MATLAB, R, python) by Mairal himself, looks interesting.
It’s an optimisation library for many various in sparse problems.

See original: The Living Thing / Notebooks Sparse regression and things that look a bit like it.