Coordinate Descent for SLOPE

Johan Larsson, Quentin Klopfenstein, Mathurin Massias, Jonas Wallin

Forskningsoutput: Kapitel i bok/rapport/Conference proceedingKonferenspaper i proceedingPeer review

Sammanfattning

The lasso is the most famous sparse regression and feature selection method. One reason for its popularity is the speed at which the underlying optimization problem can be solved. Sorted L-One Penalized Estimation (SLOPE) is a generalization of the lasso with appealing statistical properties. In spite of this, the method has not yet reached widespread interest. A major reason for this is that current software packages that fit SLOPE rely on algorithms that perform poorly in high dimensions. To tackle this issue, we propose a new fast algorithm to solve the SLOPE optimization problem, which combines proximal gradient descent and proximal coordinate descent steps. We provide new results on the directional derivative of the SLOPE penalty and its related SLOPE thresholding operator, as well as provide convergence guarantees for our proposed solver. In extensive benchmarks on simulated and real data, we demonstrate our method's performance against a long list of competing algorithms.

Originalspråkengelska
Titel på värdpublikationProceedings of the 26th international conference on artificial intelligence and statistics
RedaktörerFrancisco Ruiz, Jennifer Dy, Jan-Willem van de Meent
Sidor4802-4821
Antal sidor20
Volym206
StatusPublished - 2023
Evenemang26th International Conference on Artificial Intelligence and Statistics, AISTATS 2023 - Valencia, Spanien
Varaktighet: 2023 apr. 252023 apr. 27

Publikationsserier

NamnProceedings of Machine Learning Research

Konferens

Konferens26th International Conference on Artificial Intelligence and Statistics, AISTATS 2023
Land/TerritoriumSpanien
OrtValencia
Period2023/04/252023/04/27

Ämnesklassifikation (UKÄ)

  • Sannolikhetsteori och statistik

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