Local uncertainty sampling for large-scale multiclass logistic regression
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Abstract: A major challenge for building statistical models in the big data era is that the available data volume far exceeds the computational capability. A common approach for solving this problem is to employ a subsampled dataset that can be handled by available computational resources. In this paper, we propose a general subsampling scheme for large-scale multi-class logistic regression and examine the variance of the resulting estimator. We show that asymptotically, the proposed method always achieves a smaller variance than that of the uniform random sampling. Moreover, when the classes are conditionally imbalanced, significant improvement over uniform sampling can be achieved. Empirical performance of the proposed method is compared to other methods on both simulated and real-world datasets, and these results match and confirm our theoretical analysis.
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Cites work
- scientific article; zbMATH DE number 3984372 (Why is no real title available?)
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Cited in
(24)- Approximating Partial Likelihood Estimators via Optimal Subsampling
- Optimal subsampling for softmax regression
- Independence-Encouraging Subsampling for Nonparametric Additive Models
- Deterministic subsampling for logistic regression with massive data
- Optimal subsampling for large-scale quantile regression
- Optimal Poisson subsampling for softmax regression
- Optimal subsampling for multiplicative regression with massive data
- A two-stage optimal subsampling estimation for missing data problems with large-scale data
- Surprise sampling: improving and extending the local case-control sampling
- Information-based optimal subdata selection for big data logistic regression
- Optimal subsampling for estimation of dimension reduction directions
- Efficient subsampling for high-dimensional data
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- A Subsampling Method for Regression Problems Based on Minimum Energy Criterion
- Local case-control sampling: efficient subsampling in imbalanced data sets
- Automated scalable Bayesian inference via Hilbert coresets
- Optimal sample selection through uncertainty estimation and its application in deep learning
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- DsubCox: a fast subsampling algorithm for Cox model with distributed and massive survival data
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- Optimal subsampling for multinomial logistic models with big data
- A Subsampling Strategy for AIC-based Model Averaging with Generalized Linear Models
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