Union Support Recovery in Multi-task Learning
Mladen Kolar, John Lafferty, Larry Wasserman; 12(72):2415−2435, 2011.
Abstract
We sharply characterize the performance of different penalization schemes for the problem of selecting the relevant variables in the multi-task setting. Previous work focuses on the regression problem where conditions on the design matrix complicate the analysis. A clearer and simpler picture emerges by studying the Normal means model. This model, often used in the field of statistics, is a simplified model that provides a laboratory for studying complex procedures.
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