Strong convergence of a modified proximal algorithm for solving the lasso

摘要

As is well known the proximal iterative method can be used to solve the lasso of Tibshirani (J. R. Stat. Soc., Ser. B 58:267-288, 1996). In this paper, we first propose a modified proximal iterative method based on the viscosity approximation method to obtain strong convergence, then we apply this method to solve the lasso.