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December 2009 The composite absolute penalties family for grouped and hierarchical variable selection
Peng Zhao, Guilherme Rocha, Bin Yu
Ann. Statist. 37(6A): 3468-3497 (December 2009). DOI: 10.1214/07-AOS584

Abstract

Extracting useful information from high-dimensional data is an important focus of today’s statistical research and practice. Penalized loss function minimization has been shown to be effective for this task both theoretically and empirically. With the virtues of both regularization and sparsity, the L1-penalized squared error minimization method Lasso has been popular in regression models and beyond.

In this paper, we combine different norms including L1 to form an intelligent penalty in order to add side information to the fitting of a regression or classification model to obtain reasonable estimates. Specifically, we introduce the Composite Absolute Penalties (CAP) family, which allows given grouping and hierarchical relationships between the predictors to be expressed. CAP penalties are built by defining groups and combining the properties of norm penalties at the across-group and within-group levels. Grouped selection occurs for nonoverlapping groups. Hierarchical variable selection is reached by defining groups with particular overlapping patterns. We propose using the BLASSO and cross-validation to compute CAP estimates in general. For a subfamily of CAP estimates involving only the L1 and L norms, we introduce the iCAP algorithm to trace the entire regularization path for the grouped selection problem. Within this subfamily, unbiased estimates of the degrees of freedom (df) are derived so that the regularization parameter is selected without cross-validation. CAP is shown to improve on the predictive performance of the LASSO in a series of simulated experiments, including cases with pn and possibly mis-specified groupings. When the complexity of a model is properly calculated, iCAP is seen to be parsimonious in the experiments.

Citation

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Peng Zhao. Guilherme Rocha. Bin Yu. "The composite absolute penalties family for grouped and hierarchical variable selection." Ann. Statist. 37 (6A) 3468 - 3497, December 2009. https://doi.org/10.1214/07-AOS584

Information

Published: December 2009
First available in Project Euclid: 17 August 2009

zbMATH: 1369.62164
MathSciNet: MR2549566
Digital Object Identifier: 10.1214/07-AOS584

Subjects:
Primary: 62J07

Rights: Copyright © 2009 Institute of Mathematical Statistics

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Vol.37 • No. 6A • December 2009
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