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amkatrutsa avatar amkatrutsa commented on July 28, 2024

No, I did not implement it, but you can implement the objective function and its (sub)gradient and then use any of the appropriate methods implemented in this library like subgradient descent or proximal-type methods.
Examples of using this library for particular optimization problems you can find here.

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Sandy4321 avatar Sandy4321 commented on July 28, 2024

are sure it is so easy
seen this link
https://stats.stackexchange.com/questions/364323/solving-linear-regression-with-fused-lasso-regularization-by-mle
After some research I have found out that there is no closed form solution for this problem (and therefore no MLE in particular). A (fast) solution for this problem has been proposed via solution paths, the algorithm can be found here.
??

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amkatrutsa avatar amkatrutsa commented on July 28, 2024

Well, probably there exists specific methods for this particular problem, but you also can use any general-purpose solvers if the efficiency is not crucial.

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