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Hierarchical Penalization
Marie Szafranski · Yves Grandvalet · Pierre Morizet-Mahoudeaux

Tue Dec 04 11:50 AM -- 12:00 PM (PST) @ None

This article presents hierarchical penalization, a generic framework for incorporating prior information in the fitting of statistical models, when the explicative variables are organized in a hierarchical structure. The penalizer, derived from an adaptive penalization formulation, is a convex functional that performs soft selection at the group level, and that shrinks variables within each group, to favor solutions with few leading terms in the final combination. The framework, originally derived for taking into account prior knowledge, is shown to be useful in kernel regression, when several parameters are used to model the influence of features.

Author Information

Marie Szafranski (ENSIIE)
Yves Grandvalet (Université de Technologie de Compiégne)
Pierre Morizet-Mahoudeaux

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