The Dantzig Selector : Statistical Estimation

given just a single parameter t. Two active-set methods were described in [11], with some concern about efficiency if p were large, where X is n× p . Later when basis pursuit de-noising (BPDN) was introduced [2], the intention was to deal with p very large and to allow X to be a sparse matrix or a fast operator. A primal–dual interior method was used to solve the associated quadratic program, but it remained a challenge to deal with a single parameter. The authors’ new Dantzig Selector (DS) also assumes a specific parameter. It is helpful to state the BPDN and DS models together: