Convex optimization methods for dimension reduction and coefficient estimation in multivariate linear regression
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Publication:662292
DOI10.1007/S10107-010-0350-1zbMATH Open1246.90120arXiv0904.0691OpenAlexW2152726866MaRDI QIDQ662292FDOQ662292
Zhaosong Lu, Ming Yuan, Renato D. C. Monteiro
Publication date: 22 February 2012
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Abstract: In this paper, we study convex optimization methods for computing the trace norm regularized least squares estimate in multivariate linear regression. The so-called factor estimation and selection (FES) method, recently proposed by Yuan et al. [22], conducts parameter estimation and factor selection simultaneously and have been shown to enjoy nice properties in both large and finite samples. To compute the estimates, however, can be very challenging in practice because of the high dimensionality and the trace norm constraint. In this paper, we explore a variant of Nesterov's smooth method [20] and interior point methods for computing the penalized least squares estimate. The performance of these methods is then compared using a set of randomly generated instances. We show that the variant of Nesterov's smooth method [20] generally outperforms the interior point method implemented in SDPT3 version 4.0 (beta) [19] substantially . Moreover, the former method is much more memory efficient.
Full work available at URL: https://arxiv.org/abs/0904.0691
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Cited In (23)
- Low rank multivariate regression
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- High-dimensional dynamic systems identification with additional constraints
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- An optimal method for stochastic composite optimization
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- Convex optimization methods for dimension reduction and coefficient estimation in multivariate linear regression
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- A Bayesian perspective of statistical machine learning for big data
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