Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Near-ideal model selection by $\ell_1$ minimization   We consider the fundamental problem of estimating the mean of a vector
$y=X\beta+z$, where $X$ is an $n\times p$ design matrix in which one can have
far more variables than observations, and $z$ is a stochastic error term--the
so-called "$p>n$" setup. When $\beta$ is sparse, or, more generally, when there
is a sparse subset of covariates providing a close approximation to the unknown
mean vector, we ask whether or not it is possible to accurately estimate
$X\beta$ using a computationally tractable algorithm. We show that, in a
surprisingly wide range of situations, the lasso happens to nearly select the
best subset of variables. Quantitatively speaking, we prove that solving a
simple quadratic program achieves a squared error within a logarithmic factor
of the ideal mean squared error that one would achieve with an oracle supplying
perfect information about which variables should and should not be included in
the model. Interestingly, our results describe the average performance of the
lasso; that is, the performance one can expect in an vast majority of cases
where $X\beta$ is a sparse or nearly sparse superposition of variables, but not
in all cases. Our results are nonasymptotic and widely applicable, since they
simply require that pairs of predictor variables are not too collinear.

20
The categories of this paper are: acc-phys
4
The categories of this paper are: cond-mat
7
The categories of this paper are: hep-th
30
The categories of this paper are: q-alg
37
The categories of this paper are: supr-con
12
The categories of this paper are: nucl-th
32
The categories of this paper are: atom-ph
15
The categories of this paper are: nucl-ex
34
The categories of this paper are: chem-ph
26
The categories of this paper are: bayes-an
23
The categories of this paper are: solv-int
29
The categories of this paper are: funct-an
19
The categories of this paper are: eess
9
The categories of this paper are: nlin
36
The categories of this paper are: cmp-lg
27
The categories of this paper are: comp-gas