T. Hastie

The Critical Line Algorithm and the Constrained LASSO: One Curve, Two Literatures

Many statistical procedures compute an entire solution path rather than a single estimator. For one class the path is piecewise linear, traced corner to corner by an active-set homotopy. Two of its members coincide exactly: under $\Sigma=X^\top X$ and $\mu=X^\top y$ the gross-exposure-constrained mean--variance program...