Scalable interpretable learning for multi-response error-in-variables regression
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Abstract: Corrupted data sets containing noisy or missing observations are prevalent in various contemporary applications such as economics, finance and bioinformatics. Despite the recent methodological and algorithmic advances in high-dimensional multi-response regression, how to achieve scalable and interpretable estimation under contaminated covariates is unclear. In this paper, we develop a new methodology called convex conditioned sequential sparse learning (COSS) for error-in-variables multi-response regression under both additive measurement errors and random missing data. It combines the strengths of the recently developed sequential sparse factor regression and the nearest positive semi-definite matrix projection, thus enjoying stepwise convexity and scalability in large-scale association analyses. Comprehensive theoretical guarantees are provided and we demonstrate the effectiveness of the proposed methodology through numerical studies.
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Cited in
(4)- Low-rank matrix estimation via nonconvex optimization methods in multi-response errors-in-variables regression
- Parallel integrative learning for large-scale multi-response regression with incomplete outcomes
- Sparse estimation in high-dimensional linear errors-in-variables regression via a covariate relaxation method
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