Chen, Wen; Hu, Bo; Yang, Liyan - 2023
This paper rationalizes the LASSO algorithm based on uncertain fat-tail priors and max-min robust optimization. Our … rationalization excludes heuristic learning or restrictive prior assumptions in the original interpretation of LASSO (Tibshirani (1996 … reasonable range of ambiguous signals but respond linearly to almost unambiguous signals. With this LASSO equivalent strategy …