Chunk #17 — MATERIALS AND METHODS — LASSO estimation

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Classification and selection of biomarkers in genomic data using LASSO.

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For a given value of t, minimization of ∑i=1n(Yi−βTXi)2 subject to an L1 constraint on the components of β is a quadratic programming problem with 2p linear equality constraints. A sequential algorithm is given by Tibshirani [11] to solve the optimization problem.