Lin, Qihang; Chen, Xi; Peña, Javier - In: Computational Optimization and Applications 58 (2014) 2, pp. 455-482
We propose a new stochastic first-order algorithm for solving sparse regression problems. In each iteration, our algorithm utilizes a stochastic oracle of the subgradient of the objective function. Our algorithm is based on a stochastic version of the estimate sequence technique introduced by...