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A fast algorithm for solving the lasso problem exactly without homotopy using differential inclusions

arXiv 2507.05562 ↗First posted 8 Jul 2025math.OC cs.LG math.FAcited by 0

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Abstract (arXiv)

We prove in this work that the well-known lasso problem can be solved exactly without homotopy using novel differential inclusions techniques. Specifically, we show that a selection principle from the theory of differential inclusions transforms the dual lasso problem into the problem of calculating the trajectory of a projected dynamical system that we prove is integrable. Our analysis yields an exact algorithm for the lasso problem, numerically up to machine precision, that is amenable to computing regularization paths and is very fast. Moreover, we show the continuation of solutions to the integrable projected dynamical system in terms of the hyperparameter naturally yields a rigorous homotopy algorithm. Numerical experiments confirm that our algorithm outperforms the state-of-the-art algorithms in both efficiency and accuracy. Beyond this work, we expect our results and analysis can be adapted to compute exact or approximate solutions to a broader class of polyhedral-constrained optimization problems.

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References · 7

  1. 2021Convex optimizationcited by 2,515
  2. 2019Sparse Regression: Scalable algorithms and empirical performancecited by 27
  3. 2021Black-box tests for algorithmic stabilitycited by 15
  4. 2023A Survey of Numerical Algorithms that can Solve the Lasso Problemscited by 5
  5. 2020Sparse linear regression from perturbed datacited by 4
  6. 2014IMRO: a proximal quasi-Newton method for solving l1-regularized least square problemcited by 2
  7. 2016The Homotopy Method Revisited: Computing Solution Paths of ℓ1-Regularized Problemscited by 2

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