Is there a way to pass lambda expression as a predicate template argument?

Is there a way to make this code compile? I want to have my compare function as a lambda template argument.

#include <iostream>
#include <set>

int main() 
{
    std::set<int*, [](int *a, int *b){return *a<*b;}> S;
    return 0;
}

I am getting the following errors:

prog.cpp: In function ‘int main()’:
prog.cpp:6:17: error: lambda-expression in template-argument
  std::set<int*, [](int *a, int *b){return *a<*b;}> S;
                 ^
prog.cpp:6:51: error: template argument 2 is invalid
  std::set<int*, [](int *a, int *b){return *a<*b;}> S;

Can anyone please help me to correct the code, or explain why its not possible?