Timezone: »

Nonparametric Greedy Algorithms for the Sparse Learning Problem
Han Liu · Xi Chen

Tue Dec 08 07:00 PM -- 11:59 PM (PST) @ None #None

This paper studies the forward greedy strategy in sparse nonparametric regression. For additive models, we propose an algorithm called additive forward regression; for general multivariate regression, we propose an algorithm called generalized forward regression. Both of them simultaneously conduct estimation and variable selection in nonparametric settings for the high dimensional sparse learning problem. Our main emphasis is empirical: on both simulated and real data, these two simple greedy methods can clearly outperform several state-of-the-art competitors, including the LASSO, a nonparametric version of the LASSO called the sparse additive model (SpAM) and a recently proposed adaptive parametric forward-backward algorithm called the Foba. Some theoretical justifications are also provided.

Author Information

Han Liu (Carnegie Mellon University)
Xi Chen (NYU)

More from the Same Authors