Efficient Sparse Group Feature Selection via Nonconvex Optimization

arXiv.org Machine Learning

Sparse feature selection has been demonstrated to be effective in handling high-dimensional data. While promising, most of the existing works use convex methods, which may be suboptimal in terms of the accuracy of feature selection and parameter estimation. In this paper, we expand a nonconvex paradigm to sparse group feature selection, which is motivated by applications that require identifying the underlying group structure and performing feature selection simultaneously. The main contributions of this article are twofold: (1) statistically, we introduce a nonconvex sparse group feature selection model which can reconstruct the oracle estimator. Therefore, consistent feature selection and parameter estimation can be achieved; (2) computationally, we propose an efficient algorithm that is applicable to large-scale problems. Numerical results suggest that the proposed nonconvex method compares favorably against its competitors on synthetic data and real-world applications, thus achieving desired goal of delivering high performance.

Stable Feature Selection from Brain sMRI

AAAI Conferences

Neuroimage analysis usually involves learning thousands or even millions of variables using only a limited number of samples. In this regard, sparse models, e.g. the lasso, are applied to select the optimal features and achieve high diagnosis accuracy. The lasso, however, usually results in independent unstable features. Stability, a manifest of reproducibility of statistical results subject to reasonable perturbations to data and the model (Yu 2013), is an important focus in statistics, especially in the analysis of high dimensional data. In this paper, we explore a nonnegative generalized fused lasso model for stable feature selection in the diagnosis of Alzheimer's disease. In addition to sparsity, our model incorporates two important pathological priors: the spatial cohesion of lesion voxels and the positive correlation between the features and the disease labels. To optimize the model, we propose an efficient algorithm by proving a novel link between total variation and fast network flow algorithms via conic duality. Experiments show that the proposed nonnegative model performs much better in exploring the intrinsic structure of data via selecting stable features compared with other state-of-the-arts.

Safe Active Feature Selection for Sparse Learning

arXiv.org Machine Learning

We present safe active incremental feature selection~(SAIF) to scale up the computation of LASSO solutions. SAIF does not require a solution from a heavier penalty parameter as in sequential screening or updating the full model for each iteration as in dynamic screening. Different from these existing screening methods, SAIF starts from a small number of features and incrementally recruits active features and updates the significantly reduced model. Hence, it is much more computationally efficient and scalable with the number of features. More critically, SAIF has the safe guarantee as it has the convergence guarantee to the optimal solution to the original full LASSO problem. Such an incremental procedure and theoretical convergence guarantee can be extended to fused LASSO problems. Compared with state-of-the-art screening methods as well as working set and homotopy methods, which may not always guarantee the optimal solution, SAIF can achieve superior or comparable efficiency and high scalability with the safe guarantee when facing extremely high dimensional data sets. Experiments with both synthetic and real-world data sets show that SAIF can be up to 50 times faster than dynamic screening, and hundreds of times faster than computing LASSO or fused LASSO solutions without screening.

Feature Learning and Classification in Neuroimaging: Predicting Cognitive Impairment from Magnetic Resonance Imaging

arXiv.org Machine Learning

Due to the rapid innovation of technology and the desire to find and employ biomarkers for neurodegenerative disease, high-dimensional data classification problems are routinely encountered in neuroimaging studies. To avoid over-fitting and to explore relationships between disease and potential biomarkers, feature learning and selection plays an important role in classifier construction and is an important area in machine learning. In this article, we review several important feature learning and selection techniques including lasso-based methods, PCA, the two-sample t-test, and stacked auto-encoders. We compare these approaches using a numerical study involving the prediction of Alzheimer's disease from Magnetic Resonance Imaging.

Minimum Distance Estimation for Robust High-Dimensional Regression

arXiv.org Machine Learning

We propose a minimum distance estimation method for robust regression in sparse high-dimensional settings. The traditional likelihood-based estimators lack resilience against outliers, a critical issue when dealing with high-dimensional noisy data. Our method, Minimum Distance Lasso (MD-Lasso), combines minimum distance functionals, customarily used in nonparametric estimation for their robustness, with l1-regularization for high-dimensional regression. The geometry of MD-Lasso is key to its consistency and robustness. The estimator is governed by a scaling parameter that caps the influence of outliers: the loss per observation is locally convex and close to quadratic for small squared residuals, and flattens for squared residuals larger than the scaling parameter. As the parameter approaches infinity, the estimator becomes equivalent to least-squares Lasso. MD-Lasso enjoys fast convergence rates under mild conditions on the model error distribution, which hold for any of the solutions in a convexity region around the true parameter and in certain cases for every solution. Remarkably, a first-order optimization method is able to produce iterates very close to the consistent solutions, with geometric convergence and regardless of the initialization. A connection is established with re-weighted least-squares that intuitively explains MD-Lasso robustness. The merits of our method are demonstrated through simulation and eQTL data analysis.