Regularization and variable selection via the elastic net (2005)

by Hui Zou, Trevor Hastie
Venue:in 1..T, i in Nbar[t]}: 0 <= alphaM[t,i] complements (sum{f in 1..D} X[i,f]*w[f,t] - b[t] - y[i] + epsilon + xi[t,i]) >= 0; subject to LowerHyperplaneComplementarity{t in 1..T, i in Nbar[t]}: 0 <= alphaP[t,i] complements (-sum{f in 1..D} X[i,f]*w[f,t] + b