The Degrees of Freedom of the Group Lasso

Abstract: This paper studies the sensitivity to the observations of the block/group Lasso solution to an overdetermined linear regression model. Such a regularization is known to promote sparsity patterns structured as nonoverlapping groups of coefficients. Our main contribution provides a local parameterization of the solution with respect to the observations. As a byproduct, we give an unbiased estimate of the degrees of freedom of the group Lasso. Among other applications of such results, one can choose in a principled and objective way the regularization parameter of the Lasso through model selection criteria.