Strong rules for discarding predictors in lasso-type problems

• 成果类型: Article
• 署名作者: Tibshirani, Robert; Bien, Jacob; Friedman, Jerome; Hastie, Trevor; Simon, Noah; Taylor, Jonathan; Tibshirani, Ryan J.
• 署名单位: Stanford University
• 刊物名称: JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
• ISSN/ISSBN: 1369-7412
• DOI: 10.1111/j.1467-9868.2011.01004.x
• 发表日期: 2012
• 页码: 245-266
• 关键词: VARIABLE SELECTION; model selection; RECOVERY

摘要

. We consider rules for discarding predictors in lasso regression and related problems, for computational efficiency. El Ghaoui and his colleagues have proposed SAFE rules, based on univariate inner products between each predictor and the outcome, which guarantee that a coefficient will be 0 in the solution vector. This provides a reduction in the number of variables that need to be entered into the optimization. We propose strong rules that are very simple and yet screen out far more predictors than the SAFE rules. This great practical improvement comes at a price: the strong rules are not foolproof and can mistakenly discard active predictors, i.e. predictors that have non-zero coefficients in the solution. We therefore combine them with simple checks of the KarushKuhnTucker conditions to ensure that the exact solution to the convex problem is delivered. Of course, any (approximate) screening method can be combined with the KarushKuhnTucker conditions to ensure the exact solution; the strength of the strong rules lies in the fact that, in practice, they discard a very large number of the inactive predictors and almost never commit mistakes. We also derive conditions under which they are foolproof. Strong rules provide substantial savings in computational time for a variety of statistical optimization problems.