Localized Lasso for High-Dimensional Regression

Makoto Yamada, Takeuchi Koh, Tomoharu Iwata, John Shawe-Taylor, Samuel Kaski

Tutkimustuotos: Artikkeli kirjassa/konferenssijulkaisussaConference contributionScientificvertaisarvioitu

15 Lataukset (Pure)


We introduce the localized Lasso, which learns models that both are interpretable and have a high predictive power in problems with high dimensionality d and small sample size n. More specifically, we consider a function defined by local sparse models, one at each data point. We introduce sample-wise network regularization to borrow strength across the models, and sample-wise exclusive group sparsity (a.k.a., l12 norm) to introduce diversity into the choice of feature sets in the local models. The local models are interpretable in terms of similarity of their sparsity patterns. The cost function is convex, and thus has a globally optimal solution. Moreover, we propose a simple yet efficient iterative least-squares based optimization procedure for the localized Lasso, which does not need a tuning parameter, and is guaranteed to converge to a globally optimal solution. The solution is empirically shown to outperform alternatives for both simulated and genomic personalized/precision medicine data.
OtsikkoProceedings of the 20th International Conference on Artificial Intelligence and Statistics
ToimittajatAarti Singh, Jerry Zhu
JulkaisupaikkaFort Lauderdale, FL, USA
TilaJulkaistu - 1 elokuuta 2017
OKM-julkaisutyyppiA4 Artikkeli konferenssijulkaisuussa
TapahtumaInternational Conference on Artificial Intelligence and Statistics - Hyatt Pier 66 Hotel, Fort Lauderdale, Yhdysvallat
Kesto: 20 huhtikuuta 201722 huhtikuuta 2017
Konferenssinumero: 20


NimiProceedings of Machine Learning Research
ISSN (elektroninen)1938-7228


ConferenceInternational Conference on Artificial Intelligence and Statistics
KaupunkiFort Lauderdale

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