Sparsity in penalized empirical risk minimization
Vladimir Koltchinskii (2009)
Annales de l'I.H.P. Probabilités et statistiques
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Let (, ) be a random couple in × with unknown distribution . Let ( , ), …, ( , ) be i.i.d. copies of (, ), being their empirical distribution. Let , …, :↦[−1, 1] be a dictionary consisting of functions. For ∈ℝ, denote :=∑ . Let :×ℝ↦ℝ be a given loss function, which is convex with...