We present a novel enhanced cyclic coordinate descent (ECCD) framework for solving generalized linear models with elastic net constraints that reduces training time in comparison to existing state-of-the-art methods. We redesign the CD method by performing a Taylor expansion around the current iterate to avoid nonlinear operations arising in the gradient computation. By introducing this approximation we are able to unroll the vector recurrences occurring in the CD method and reformulate the resulting computations into more efficient batched computations. We show empirically that the recurrence can be unrolled by a tunable integer parameter, s, such that s > 1 yields performance improvements without affecting convergence, whereas s= 1 yields the original CD method. A key advantage of ECCD is that it avoids the convergence delay and numerical instability exhibited by block coordinate descent. Finally, we implement our proposed method in C++ using Eigen to accelerate linear algebra computations. Comparison of our method against existing state-of-the-art solvers show consistent performance improvements of 3 in average for regularization path variant on diverse benchmark datasets. Our implementation is available at https://github.

We study online estimation for high-dimensional generalized linear models with streaming data. First, for the non-distributed setting, we propose a gradient-enhanced surrogate loss that approximates the cumulative loss using only historical summaries, which modifies and improves upon the existing renewable estimation approach for the same model in the high-dimensional setting, and removes the batch-number constraint in previous studies. We then extend the method to distributed streaming data under the master-client architecture, where batches are partitioned across sites and only summaries (gradient vectors) are exchanged. Instead of directing applying the popular method of Jordan et al. (2019) to the surrogate quadratic loss, our adjusted approach does not require the clients to compute the full surrogate loss. We derive non-asymptotic error bounds under the high-dimensional scaling, without the stringent constraint on the number of batches in the previous studies. Simulation results under linear and logistic models, together with a real-data application, show improved accuracy over existing renewable estimators.

Offset Rademacher complexities have been shown to provide tight upper bounds for the square loss in a broad class of problems including improper statistical learning and online learning. We show that the offset complexity can be generalized to any loss that satisfies a certain general convexity condition. Further, we show that this condition is closely related to both exponential concavity and self-concordance, unifying apparently disparate results. By a novel geometric argument, many of our bounds translate to improper learning in a non-convex class with Audibert's star algorithm. Thus, the offset complexity provides a versatile analytic tool that covers both convex empirical risk minimization and improper learning under entropy conditions. Applying the method, we recover the optimal rates for proper and improper learning with the p-loss for 1

We study the problem of learning generalized linear models under adversarial corruptions. We analyze a classical heuristic called the iterative trimmed maximum likelihood estimator which is known to be effective against label corruptions in practice. Under label corruptions, we prove that this simple estimator achieves minimax near-optimal risk on a wide range of generalized linear models, including Gaussian regression, Poisson regression and Binomial regression. Finally, we extend the estimator to the more challenging setting of label and covariate corruptions and demonstrate its robustness and optimality in that setting as well.

Technically, our result is enabled by establishing a link with recent works on optimal denoising of extensive-rank matrices and on the ellipsoid fitting problem.

Gaussian mixtures are a popular model in high-dimensional statistics since, besides being an universal approximator, they often lead to mathematically tractable problems.