Fr\'echet regression for multi-label feature selection with implicit regularization

Fréchet regression, an extension of classical linear regression to general metric spaces, offers a robust framework for modeling complex relationships between variables when the responses lie outside of Euclidean spaces. This approach is especially well suited to high-dimensional datasets, such as vector representations, with particular relevance to fields like imaging, where capturing nonlinear dependencies and the intrinsic data structure is critical for accurate modeling (Fréchet (1948), Petersen and Müller (2019), Bhattacharjee and Müller (2023), Qiu, Yu and Zhu (2024)). A significant consideration in Fréchet regression arises when predicting multiple responses simultaneously, as seen in multi-target or multidimensional problems (Zhang and Zhou (2007), Hyvönen, Jääsaari and Roos (2024)). Unlike traditional regression, where each observation corresponds to a single response, Fréchet regression can be extended to model complex interactions between multiple outputs. This ability to address complex relationships between several responses opens new avenues, particularly in fields such as bioinformatics (Huang et al. (2005)) and image analysis (Lathuilière et al. (2019)), where multidimensional data and interdependencies between responses require adaptive and specialized methodologies. However, to date, the handling of multilabel scenarios within the context of Fréchet regression remains relatively unexplored in the literature, despite its potential significance in addressing complex, multidimensional applications. In this paper, we present an extension of the Global Fréchet regression model, a specific variant of Fréchet regression that generalizes classical multiple linear regression by modeling responses as random objects. This extension enables the explicit modeling of relationships between input variables and multiple responses, thereby addressing the multi-label setting. Our second contribution in this paper addresses the dimensionality challenge in the context of the proposed Fréchet regression extension.