From Lasso regression to Feature vector machine

Lasso regression tends to assign zero weights to most irrelevant or redundant features, and hence is a promising technique for feature selection. Its limitation, however, is that it only offers solutions to linear models. Kernel machines with feature scaling techniques have been studied for feature selection with nonlinear models. However, such approaches require to solve hard non-convex optimization problems. This paper proposes a new approach named the Feature Vector Machine (FVM). It reformulates the standard Lasso regression into a form isomorphic to SVM, and this form can be easily extended for feature selection with nonlinear models by introducing kernels defined on feature vectors. FVM generates sparse solutions in the nonlinear feature space and it is much more tractable compared to feature scaling kernel machines. Our experiments with FVM on simulated data show encouraging results in identifying the small number of dominating features that are non-linearly correlated to the response, a task the standard Lasso fails to complete.