Adaptive Iterative Hard Thresholding for Online High-dimensional Quantile Regression
arXiv:2606.28652v1 Announce Type: new Abstract: Online high-dimensional regression requires algorithms that can update sequentially while preserving structural sparsity. We propose textit{Adaptive Iterative Hard Thresholding (AIHT)}, an online sparse-regression framework that alternates stochastic subgradient updates with adaptively scheduled hard-thresholding steps. The key idea is to separate support discovery from local refinement: early in the learning process, AIHT delays thresholding so that weak but informative coordinates have time to accumulate signal, while later it increases the projection frequency to stabilize […]