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eLASSO — Robust variable selection procedure based on exponential squared loss

This is a Matlab implementation of eLASSO. This zipped file contains 14 M-files, 7 of them are related to the optimization problem, which are translated from the block coordinate gradient descent(BGCD) method proposed by Paul Tseng and Sangwoon Yun. They are cgdsq.m, dirq.m, nz.m, signx.m, fnc.m, and grad.m. This program implements the method described in:

  • Wang X., Jiang Y., Huang M., and Zhang H. Robust Variable Selection with Exponential Squared Loss. Journal of the American Statistical Association, 108: 632-643, 2013.