Deciphering Lasso-based Classification Through a Large Dimensional Analysis of the Iterative Soft-Thresholding Algorithm

Malik Tiomoko, Ekkehard Schnoor, Mohamed El Amine Seddik, Igor Colin, Aladin Virmaux

Abstract: This paper proposes a theoretical analysis of a Lasso-based classification algorithm. Leveraging on a realistic regime where the dimension of the data $p$ and their number $n$ are of the same order...