This technique is not applicable for interior point due to central path so that but it is applicable in L2 regularization problem optimization for primal and dual formulation. Can anybody tell me that why it is not applicable for L1 regularization problem.
David Eugene Booth
I'm not sure but here is my guess. The L2 case I believe is a quadratic programming problem and L1 is a linear programming problem. Perhaps that is the reason. You might also consider the elastic net algorithm which does both at once. The following link may be helpful. If I have misunderstood I apologize.
http://statweb.stanford.edu/~tibs/
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