Abstract
In high-dimensional prediction problems, where the number of features may greatly exceed the number of training instances, fully Bayesian approach with a sparsifying prior is known to produce good results but is computationally challenging. To alleviate this computational burden, we propose to use a preprocessing step where we first apply a dimension reduction to the original data to reduce the number of features to something that is computationally conveniently handled by Bayesian methods. To do this, we propose a new dimension reduction technique, called iterative supervised principal components (ISPCs), which combines variable screening and dimension reduction and can be considered as an extension to the existing technique of supervised principal components (SPCs). Our empirical evaluations confirm that, although not foolproof, the proposed approach provides very good results on several microarray benchmark datasets with very affordable computation time, and can also be very useful for visualizing high-dimensional data.
Original language | English |
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Title of host publication | International Conference on Artificial Intelligence and Statistics, 9-11 April 2018, Playa Blanca, Lanzarote, Canary Islands |
Editors | Amos Storkey, Fernando Perez-Cruz |
Publisher | JMLR |
Number of pages | 9 |
Publication status | Published - 2018 |
MoE publication type | A4 Conference publication |
Event | International Conference on Artificial Intelligence and Statistics - Playa Blanca, Spain Duration: 9 Apr 2018 → 11 Apr 2018 Conference number: 21 |
Publication series
Name | Proceedings of Machine Learning Research |
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Publisher | PMLR |
Volume | 84 |
ISSN (Electronic) | 1938-7228 |
Conference
Conference | International Conference on Artificial Intelligence and Statistics |
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Abbreviated title | AISTATS |
Country/Territory | Spain |
City | Playa Blanca |
Period | 09/04/2018 → 11/04/2018 |