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Article dans une revue

Sparse regression and support recovery with L2-Boosting algorithms

Abstract : This paper focuses on the analysis of L2L2-Boosting algorithms for linear regressions. Consistency results were obtained for high-dimensional models when the number of predictors grows exponentially with the sample size nn. We propose a new result for Weak Greedy Algorithms that deals with the support recovery, provided that reasonable assumptions on the regression parameter are fulfilled. For the sake of clarity, we also present some results in the deterministic case. Finally, we propose two multi-task versions of L2L2-Boosting for which we can extend these stability results, provided that assumptions on the restricted isometry of the representation and on the sparsity of the model are fulfilled. The interest of these two algorithms is demonstrated on various datasets.
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https://hal.inrae.fr/hal-02639380
Déposant : Migration Prodinra <>
Soumis le : jeudi 28 mai 2020 - 11:56:07
Dernière modification le : vendredi 12 juin 2020 - 10:43:26

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Magali Champion, Christine Cierco-Ayrolles, Sebastien Gadat, Matthieu Vignes. Sparse regression and support recovery with L2-Boosting algorithms. Journal of Statistical Planning and Inference, Elsevier, 2014, 155, pp.19-41. ⟨10.1016/j.jspi.2014.07.006⟩. ⟨hal-02639380⟩

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