Gather and Conquer: Region-Based Strategies to Accelerate Safe Screening Tests

In this paper, we propose new methodologies to decrease the computational cost of safe screening tests for LASSO. We first introduce a new screening strategy, dubbed "joint screening test," which allows the rejection of a set of atoms by performing one single test. Our approach enables to...

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Bibliographic Details
Published inIEEE transactions on signal processing Vol. 67; no. 12; pp. 3300 - 3315
Main Authors Herzet, Cedric, Dorffer, Clement, Dremeau, Angelique
Format Journal Article
LanguageEnglish
Published New York IEEE 15.06.2019
The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Institute of Electrical and Electronics Engineers
Subjects
Complexity theory
Computational efficiency
Computer Science
Construction costs
Dictionaries
Geometry
Machine Learning
machine learning algorithms
Mathematics
Optimization
Optimization and Control
Optimization methods
Screening
Signal and Image Processing
Signal processing algorithms
Statistics
Statistical testing
Computational complexity
Regression analysis
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Summary:In this paper, we propose new methodologies to decrease the computational cost of safe screening tests for LASSO. We first introduce a new screening strategy, dubbed "joint screening test," which allows the rejection of a set of atoms by performing one single test. Our approach enables to find good compromises between complexity of implementation and effectiveness of screening. Second, we propose two new methods to decrease the computational cost inherent to the construction of the (so-called) "safe region." Our numerical experiments show that the proposed procedures lead to significant computational gains as compared to standard methodologies.
ISSN:1053-587X
1941-0476
DOI:10.1109/TSP.2019.2914885