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2021 Double fused Lasso regularized regression with both matrix and vector valued predictors
Mei Li, Lingchen Kong, Zhihua Su
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Electron. J. Statist. 15(1): 1909-1950 (2021). DOI: 10.1214/21-EJS1829

Abstract

In many contemporary applications such as longitudinal studies, neuroimaging or civil engineering, a dataset can contain high dimensional measurements on both matrix-valued and vector-valued variables. Such structure demands statistical tools that can extract information from both types of measurements. In this paper, we propose a double fused Lasso regularized method to handle both matrix-valued and vector-valued predictors under the context of linear regression and logistic regression. An efficient and scalable sGS-ADMM (symmetric Gauss-Seidel based alternating direction method of multipliers) algorithm is derived to obtain the estimator. Global convergence and the Q-linear rate of convergence for the algorithm is established. Consistency of the double fused Lasso estimators holds under mild conditions. Numerical experiments and examples show that the double fused Lasso estimators achieve efficient gains in estimation and better prediction performance compared to existing estimators.

Funding Statement

This work was supported in part by the National Natural Science Foundation of China (12071022), grant (632688) from Simons Foundation and the 111 Project of China (B16002).

Acknowledgments

The authors would like to thank the editor and anonymous referees for their invaluable comments and suggestions which are very helpful for improving the paper. The authors thank Professor Defeng Sun from Hong Kong Polytechnic University for his constructive comments and encouragements.

Citation

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Mei Li. Lingchen Kong. Zhihua Su. "Double fused Lasso regularized regression with both matrix and vector valued predictors." Electron. J. Statist. 15 (1) 1909 - 1950, 2021. https://doi.org/10.1214/21-EJS1829

Information

Received: 1 February 2020; Published: 2021
First available in Project Euclid: 26 March 2021

Digital Object Identifier: 10.1214/21-EJS1829

Subjects:
Primary: 62F12, 62J05, 62J12
Secondary: 90C25

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Vol.15 • No. 1 • 2021
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