L1-norm regularized least-squares¶
We consider a least-squares problem with -norm regularization
with variable and problem data and . The problem is equivalent to a QP
with variables and constraints. The problem can also be written as a separable QP
Solvers for the -norm regularized least-squares problem are
available as a Python module
l1regls_mosek7.py for earlier versions of CVXOPT that use MOSEK 6 or 7). The module implements the following three functions:
Solves the problem (2) using MOSEK. This function is only available if MOSEK is installed.
Returns the solution .
from l1regls import l1regls from cvxopt import normal m, n = 50, 200 A, b = normal(m,n), normal(m,1) x = l1regls(A,b)