[Statlist] Next talk: Tuesday, October 22, 2013 with Po-Ling Loh; 12.15h

[Cecilia Rey]

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ETH and University of Zurich

Organisers:
Proff. P. Bühlmann - L. Held - T. Hothorn - H.R. Kuensch - M. Maathuis - 
N. Meinshausen - S. van de Geer - M. Wolf

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We are glad to announce the following talk

Tuesday, October 22, 2013, 12.15h  ETH Zurich HG G 19.1

with Po-Ling Loh, Seminar für Statistik, ETH Zürich
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Title:
Local optima of nonconvex regularized M-estimators

Abstract:
We present recent results concerning local optima of various regularized M-estimators, where both loss and penalty functions are allowed to be nonconvex. We show that whenever the loss function satisfies restricted strong convexity and the penalty function satisfies suitable regularity conditions, all local optima of the composite objective function lie within statistical precision of the true parameter vector. Applications of interest include the corrected Lasso for errors-in-variables models and regression in generalized linear models with nonconvex regularizers such as SCAD and MCP. We also show that a simple adaptation of composite gradient descent may be used to efficiently optimize such nonconvex objectives. 

This is joint work with Martin Wainwright. 

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This abstract is also to be found under the following link: http://stat.ethz.ch/events/research_seminar
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