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s_test_lasso

PURPOSE ^

% Example of squared-loss-L1 DAL on a synthetic problem (non-sparse)

SYNOPSIS ^

This is a script file.

DESCRIPTION ^

% Example of squared-loss-L1 DAL on a synthetic problem (non-sparse)

CROSS-REFERENCE INFORMATION ^

This function calls: This function is called by:

SOURCE CODE ^

0001 %% Example of squared-loss-L1 DAL on a synthetic problem (non-sparse)
0002 
0003 m = 1024;
0004 n = 4096;
0005 A=randn(m,n);
0006 w0=randn(n,1);
0007 bb=A*w0+0.01*randn(m,1);
0008 lambda=0.1*max(abs(A'*bb));
0009 
0010 lambda = lambda*[1 0.1 0.01 1e-3 1e-4];
0011 time   = zeros(size(lambda));
0012 spar   = zeros(size(lambda));
0013 xx     = zeros(n,length(lambda));
0014 t0     = cputime;
0015 xx1    = zeros(n,1);
0016 for ii=1:length(lambda)
0017   xx1=dalsql1(xx1,A,bb,lambda(ii));
0018   xx(:,ii)=xx1;
0019   time(ii)=cputime-t0;
0020   spar(ii)=full(sum(abs(xx1)>0)/n);
0021   fprintf('lambda=%g sparsity=%g%% time=%g\n',lambda(ii), spar(ii)*100, time(ii));
0022 end
0023

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