A duality-based weight update rule for re-weighted L1 and LASSO algorithms that interprets weights as Lagrange multipliers with comparable empirical performance.
Athena Scientific optimization and computation series, Athena Scientific (1999)
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Re-Weighted $\ell_1$ Algorithms within the Lagrange Duality Framework: Bringing Interpretability to Weights
A duality-based weight update rule for re-weighted L1 and LASSO algorithms that interprets weights as Lagrange multipliers with comparable empirical performance.