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Post Lasso Stability Selection for High Dimensional Linear Models
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2017 (English)In: ICPRAM: Proceedings of The 6th International Conference on Pattern Recognition Applications and Methods / [ed] DeMarsico, M DiBaja, GS Fred, A, Scitepress , 2017, p. 638-646Conference paper (Refereed)
Abstract [en]

Lasso and sub-sampling based techniques (e. g. Stability Selection) are nowadays most commonly used methods for detecting the set of active predictors in high-dimensional linear models. The consistency of the Lasso-based variable selection requires the strong irrepresentable condition on the design matrix to be fulfilled, and repeated sampling procedures with large feature set make the Stability Selection slow in terms of computation time. Alternatively, two-stage procedures (e. g. thresholding or adaptive Lasso) are used to achieve consistent variable selection under weaker conditions (sparse eigenvalue). Such two-step procedures involve choosing several tuning parameters that seems easy in principle, but difficult in practice. To address these problems efficiently, we propose a new two-step procedure, called Post Lasso Stability Selection (PLSS). At the first step, the Lasso screening is applied with a small regularization parameter to generate a candidate subset of active features. At the second step, Stability Selection using weighted Lasso is applied to recover the most stable features from the candidate subset. We show that under mild (generalized irrepresentable) condition, this approach yields a consistent variable selection method that is computationally fast even for a very large number of variables. Promising performance properties of the proposed PLSS technique are also demonstrated numerically using both simulated and real data examples.

Place, publisher, year, edition, pages
Scitepress , 2017. p. 638-646
Keywords [en]
Lasso, Weighted Lasso, Variable Selection, Stability Selection, High Dimensional Data
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-217221DOI: 10.5220/0006244306380646ISI: 000413240500078Scopus ID: 2-s2.0-85049473256ISBN: 978-989-758-222-6 OAI: oai:DiVA.org:kth-217221DiVA, id: diva2:1154838
Conference
6th International Conference on Pattern Recognition Applications and Methods (ICPRAM), FEB 24-26, 2017, Porto, Portugal
Note

QC 20171106

Available from: 2017-11-06 Created: 2017-11-06 Last updated: 2018-10-16Bibliographically approved

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CiteExportLink to record
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