Abstract Details
Activity Number:
|
508
|
Type:
|
Contributed
|
Date/Time:
|
Wednesday, August 6, 2014 : 10:30 AM to 12:20 PM
|
Sponsor:
|
Section on Statistical Computing
|
Abstract #313586
|
View Presentation
|
Title:
|
Strong Rules for Nonconvex Penalties and Their Implications for Efficient Algorithms in High-Dimensional Regression
|
Author(s):
|
Sangin Lee*+ and Patrick Breheny
|
Companies:
|
University of Iowa and University of Iowa
|
Keywords:
|
Coordinate descent algorithms ;
Local convexity ;
Nonconvex penalties ;
Dimension reduction ;
High-dimensional data
|
Abstract:
|
We consider approaches for improving the efficiency of algorithms for fitting nonconvex penalized regression models such as SCAD and MCP in high dimensions. In particular, we develop rules for discarding variables during cyclic coordinate descent. This dimension reduction leads to a substantial improvement in the speed of these algorithms for high-dimensional problems. The rules we propose here eliminate a substantial fraction of the variables from the coordinate descent algorithm. Violations are quite rare, especially in the locally convex region of the solution path, and furthermore, may be easily detected and corrected by checking the Karush-Kuhn-Tucker conditions. We extend these rules to generalized linear models, as well as to other nonconvex penalties such as the L2-stabilized Mnet penalty, group MCP, and group SCAD. We explore three variants of the coordinate decent algorithm that incorporate these rules and study the efficiency of these algorithms in fitting models to both simulated data and on real data from a genome-wide association study.
|
Authors who are presenting talks have a * after their name.
Back to the full JSM 2014 program
|
2014 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Professional Development program, please contact the Education Department.
The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.
Copyright © American Statistical Association.