Proceedings Article•
EfficientL 1 regularized logistic regression
16 Jul 2006-pp 401-408
TL;DR: Theoretical results show that the proposed efficient algorithm for L1 regularized logistic regression is guaranteed to converge to the global optimum, and experiments show that it significantly outperforms standard algorithms for solving convex optimization problems.
Abstract: L1 regularized logistic regression is now a workhorse of machine learning: it is widely used for many classification problems, particularly ones with many features. L1 regularized logistic regression requires solving a convex optimization problem. However, standard algorithms for solving convex optimization problems do not scale well enough to handle the large datasets encountered in many practical settings. In this paper, we propose an efficient algorithm for L1 regularized logistic regression. Our algorithm iteratively approximates the objective function by a quadratic approximation at the current point, while maintaining the L1 constraint. In each iteration, it uses the efficient LARS (Least Angle Regression) algorithm to solve the resulting L1 constrained quadratic optimization problem. Our theoretical results show that our algorithm is guaranteed to converge to the global optimum. Our experiments show that our algorithm significantly outperforms standard algorithms for solving convex optimization problems. Moreover, our algorithm outperforms four previously published algorithms that were specifically designed to solve the L1 regularized logistic regression problem.
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01 Dec 2008
TL;DR: This correspondence proposes a new formulation for robust regularized kernel regression under the theoretical framework of regularization networks and then tackles the optimization problem directly in the primal, showing that the primal and dual approaches are equivalent to achieving similar regression performance, but the primal formulation is more efficient and easier to be implemented than the dual one.
Abstract: Robust regression techniques are critical to fitting data with noise in real-world applications. Most previous work of robust kernel regression is usually formulated into a dual form, which is then solved by some quadratic program solver consequently. In this correspondence, we propose a new formulation for robust regularized kernel regression under the theoretical framework of regularization networks and then tackle the optimization problem directly in the primal. We show that the primal and dual approaches are equivalent to achieving similar regression performance, but the primal formulation is more efficient and easier to be implemented than the dual one. Different from previous work, our approach also optimizes the bias term. In addition, we show that the proposed solution can be easily extended to other noise-reliable loss function, including the Huber-epsiv insensitive loss function. Finally, we conduct a set of experiments on both artificial and real data sets, in which promising results show that the proposed method is effective and more efficient than traditional approaches.
44 citations
Additional excerpts
...In addition, L1 regularized logistic regression [2] also demonstrates some good performance for classification tasks....
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Posted Content•
TL;DR: Two novel methods to predict hospitalizations due to chronic diseases, heart disease and diabetes, are proposed: $K$ -LRT, a likelihood ratio test-based method, and a Joint Clustering and Classification (JCC) method which identifies hidden patient clusters and adapts classifiers to each cluster.
Abstract: Urban living in modern large cities has significant adverse effects on health, increasing the risk of several chronic diseases. We focus on the two leading clusters of chronic disease, heart disease and diabetes, and develop data-driven methods to predict hospitalizations due to these conditions. We base these predictions on the patients' medical history, recent and more distant, as described in their Electronic Health Records (EHR). We formulate the prediction problem as a binary classification problem and consider a variety of machine learning methods, including kernelized and sparse Support Vector Machines (SVM), sparse logistic regression, and random forests. To strike a balance between accuracy and interpretability of the prediction, which is important in a medical setting, we propose two novel methods: K-LRT, a likelihood ratio test-based method, and a Joint Clustering and Classification (JCC) method which identifies hidden patient clusters and adapts classifiers to each cluster. We develop theoretical out-of-sample guarantees for the latter method. We validate our algorithms on large datasets from the Boston Medical Center, the largest safety-net hospital system in New England.
43 citations
Cites background or methods from "EfficientL 1 regularized logistic r..."
...Sparse classifiers are interpretable, since they provide succinct information on few dominant features leading to the prediction [33]....
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...Here, we use an l 1 -regularized (sparse) logistic regression [33], [42], [43], which adds an extra penalty term proportional to ‖θ ‖ 1 in the log likelihood....
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TL;DR: A novel approach to providing automated support for project managers and other decision makers in predicting whether an issue is at risk of being delayed against its deadline by extracting features characterizing delayed issues from eight open source projects.
Abstract: Issue-tracking systems (e.g. JIRA) have increasingly been used in many software projects. An issue could represent a software bug, a new requirement or a user story, or even a project task. A deadline can be imposed on an issue by either explicitly assigning a due date to it, or implicitly assigning it to a release and having it inherit the release's deadline. This paper presents a novel approach to providing automated support for project managers and other decision makers in predicting whether an issue is at risk of being delayed against its deadline. A set of features (hereafter called risk factors) characterizing delayed issues were extracted from eight open source projects: Apache, Duraspace, Java.net, JBoss, JIRA, Moodle, Mulesoft, and WSO2. Risk factors with good discriminative power were selected to build predictive models to predict if the resolution of an issue will be at risk of being delayed. Our predictive models are able to predict both the the extend of the delay and the likelihood of the delay occurrence. The evaluation results demonstrate the effectiveness of our predictive models, achieving on average 79 % precision, 61 % recall, 68 % F-measure, and 83 % Area Under the ROC Curve. Our predictive models also have low error rates: on average 0.66 for Macro-averaged Mean Cost-Error and 0.72 Macro-averaged Mean Absolute Error.
41 citations
Cites methods from "EfficientL 1 regularized logistic r..."
...To that end, we developed a 1-penalized logistic regression model (Lee et al. 2006) for selecting risk factors....
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03 Jul 2013
TL;DR: A novel unsupervised data fusion model based on joint factorization of matrices and higher-order tensors, which can automatically reveal common and individual components is formulated and demonstrated to provide promising results in joint analysis of metabolomics data sets.
Abstract: In many disciplines, data from multiple sources are acquired and jointly analyzed for enhanced knowledge discovery. For instance, in metabolomics, different analytical techniques are used to measure biological fluids in order to identify the chemicals related to certain diseases. It is widely-known that, some of these analytical methods, e.g., LC-MS (Liquid Chromatography - Mass Spectrometry) and NMR (Nuclear Magnetic Resonance) spectroscopy, provide complementary data sets and their joint analysis may enable us to capture a larger proportion of the complete metabolome belonging to a specific biological system. Fusing data from multiple sources has proved useful in many fields including bioinformatics, signal processing and social network analysis. However, identification of common (shared) and individual (unshared) structures across multiple data sets remains a major challenge in data fusion studies. With a goal of addressing this challenge, we propose a novel unsupervised data fusion model. Our contributions are two-fold: (i) We formulate a data fusion model based on joint factorization of matrices and higher-order tensors, which can automatically reveal common and individual components. (ii) We demonstrate that the proposed approach provides promising results in joint analysis of metabolomics data sets consisting of fluorescence and NMR measurements of plasma samples in terms of separation of colorectal cancer patients from controls.
41 citations
Additional excerpts
...sufficiently small 2 0, i i x x ε ε > + = [19]....
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01 Jul 2012
TL;DR: An all-at-once optimization algorithm, called CMF-SPOPT (Coupled Matrix Factorization with SParse Optimization), which is a gradient-based optimization approach solving for all factor matrices simultaneously, which can capture the underlying sparse patterns in data.
Abstract: Metabolomics focuses on the detection of chemical substances in biological fluids such as urine and blood using a number of analytical techniques including Nuclear Magnetic Resonance (NMR) spectroscopy and Liquid Chromatography-Mass Spectroscopy (LC-MS). Among the major challenges in analysis of metabolomics data are (i) joint analysis of data from multiple platforms and (ii) capturing easily interpretable underlying patterns, which could be further utilized for biomarker discovery. In order to address these challenges, we formulate joint analysis of data from multiple platforms as a coupled matrix factorization problem with sparsity constraints on the factor matrices. We develop an all-at-once optimization algorithm, called CMF-SPOPT (Coupled Matrix Factorization with SParse Optimization), which is a gradient-based optimization approach solving for all factor matrices simultaneously. Using numerical experiments on simulated data, we demonstrate that CMF-SPOPT can capture the underlying sparse patterns in data. Furthermore, on a real data set of blood samples collected from a group of rats, we use the proposed approach to jointly analyze metabolomic data sets and identify potential biomarkers for apple intake.
40 citations
Cites methods from "EfficientL 1 regularized logistic r..."
...Here, we approximate the terms with 1-norm using the “epsL1” function [11] and rewrite (2) as:...
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References
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TL;DR: A new method for estimation in linear models called the lasso, which minimizes the residual sum of squares subject to the sum of the absolute value of the coefficients being less than a constant, is proposed.
Abstract: SUMMARY We propose a new method for estimation in linear models. The 'lasso' minimizes the residual sum of squares subject to the sum of the absolute value of the coefficients being less than a constant. Because of the nature of this constraint it tends to produce some coefficients that are exactly 0 and hence gives interpretable models. Our simulation studies suggest that the lasso enjoys some of the favourable properties of both subset selection and ridge regression. It produces interpretable models like subset selection and exhibits the stability of ridge regression. There is also an interesting relationship with recent work in adaptive function estimation by Donoho and Johnstone. The lasso idea is quite general and can be applied in a variety of statistical models: extensions to generalized regression models and tree-based models are briefly described.
40,785 citations
"EfficientL 1 regularized logistic r..." refers methods in this paper
...(Tibshirani 1996) Several algorithms have been developed to solve L1 constrained least squares problems....
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...See, Tibshirani (1996) for details.)...
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...(Tibshirani 1996) Several algorithms have been developed to solve L1 constrained least squares problems....
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Book•
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TL;DR: In this article, the focus is on recognizing convex optimization problems and then finding the most appropriate technique for solving them, and a comprehensive introduction to the subject is given. But the focus of this book is not on the optimization problem itself, but on the problem of finding the appropriate technique to solve it.
Abstract: Convex optimization problems arise frequently in many different fields. A comprehensive introduction to the subject, this book shows in detail how such problems can be solved numerically with great efficiency. The focus is on recognizing convex optimization problems and then finding the most appropriate technique for solving them. The text contains many worked examples and homework exercises and will appeal to students, researchers and practitioners in fields such as engineering, computer science, mathematics, statistics, finance, and economics.
33,341 citations
Book•
01 Jan 1983TL;DR: In this paper, a generalization of the analysis of variance is given for these models using log- likelihoods, illustrated by examples relating to four distributions; the Normal, Binomial (probit analysis, etc.), Poisson (contingency tables), and gamma (variance components).
Abstract: The technique of iterative weighted linear regression can be used to obtain maximum likelihood estimates of the parameters with observations distributed according to some exponential family and systematic effects that can be made linear by a suitable transformation. A generalization of the analysis of variance is given for these models using log- likelihoods. These generalized linear models are illustrated by examples relating to four distributions; the Normal, Binomial (probit analysis, etc.), Poisson (contingency tables) and gamma (variance components).
23,215 citations
01 Jan 1998
12,940 citations
"EfficientL 1 regularized logistic r..." refers methods in this paper
...We tested each algorithm’s performance on 12 different datasets, consisting of 9 UCI datasets (Newman et al. 1998), one artificial dataset called Madelon from the NIPS 2003 workshop on feature extraction,3 and two gene expression datasets (Microarray 1 and 2).4 Table 2 gives details on the number…...
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...We tested each algorithm’s performance on 12 different real datasets, consisting of 9 UCI datasets (Newman et al. 1998) and 3 gene expression datasets (Microarray 1, 2 and 3) 3....
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TL;DR: This is the rst book on generalized linear models written by authors not mostly associated with the biological sciences, and it is thoroughly enjoyable to read.
Abstract: This is the rst book on generalized linear models written by authors not mostly associated with the biological sciences. Subtitled “With Applications in Engineering and the Sciences,” this book’s authors all specialize primarily in engineering statistics. The rst author has produced several recent editions of Walpole, Myers, and Myers (1998), the last reported by Ziegel (1999). The second author has had several editions of Montgomery and Runger (1999), recently reported by Ziegel (2002). All of the authors are renowned experts in modeling. The rst two authors collaborated on a seminal volume in applied modeling (Myers and Montgomery 2002), which had its recent revised edition reported by Ziegel (2002). The last two authors collaborated on the most recent edition of a book on regression analysis (Montgomery, Peck, and Vining (2001), reported by Gray (2002), and the rst author has had multiple editions of his own regression analysis book (Myers 1990), the latest of which was reported by Ziegel (1991). A comparable book with similar objectives and a more speci c focus on logistic regression, Hosmer and Lemeshow (2000), reported by Conklin (2002), presumed a background in regression analysis and began with generalized linear models. The Preface here (p. xi) indicates an identical requirement but nonetheless begins with 100 pages of material on linear and nonlinear regression. Most of this will probably be a review for the readers of the book. Chapter 2, “Linear Regression Model,” begins with 50 pages of familiar material on estimation, inference, and diagnostic checking for multiple regression. The approach is very traditional, including the use of formal hypothesis tests. In industrial settings, use of p values as part of a risk-weighted decision is generally more appropriate. The pedagologic approach includes formulas and demonstrations for computations, although computing by Minitab is eventually illustrated. Less-familiar material on maximum likelihood estimation, scaled residuals, and weighted least squares provides more speci c background for subsequent estimation methods for generalized linear models. This review is not meant to be disparaging. The authors have packed a wealth of useful nuggets for any practitioner in this chapter. It is thoroughly enjoyable to read. Chapter 3, “Nonlinear Regression Models,” is arguably less of a review, because regression analysis courses often give short shrift to nonlinear models. The chapter begins with a great example on the pitfalls of linearizing a nonlinear model for parameter estimation. It continues with the effective balancing of explicit statements concerning the theoretical basis for computations versus the application and demonstration of their use. The details of maximum likelihood estimation are again provided, and weighted and generalized regression estimation are discussed. Chapter 4 is titled “Logistic and Poisson Regression Models.” Logistic regression provides the basic model for generalized linear models. The prior development for weighted regression is used to motivate maximum likelihood estimation for the parameters in the logistic model. The algebraic details are provided. As in the development for linear models, some of the details are pushed into an appendix. In addition to connecting to the foregoing material on regression on several occasions, the authors link their development forward to their following chapter on the entire family of generalized linear models. They discuss score functions, the variance-covariance matrix, Wald inference, likelihood inference, deviance, and overdispersion. Careful explanations are given for the values provided in standard computer software, here PROC LOGISTIC in SAS. The value in having the book begin with familiar regression concepts is clearly realized when the analogies are drawn between overdispersion and nonhomogenous variance, or analysis of deviance and analysis of variance. The authors rely on the similarity of Poisson regression methods to logistic regression methods and mostly present illustrations for Poisson regression. These use PROC GENMOD in SAS. The book does not give any of the SAS code that produces the results. Two of the examples illustrate designed experiments and modeling. They include discussion of subset selection and adjustment for overdispersion. The mathematic level of the presentation is elevated in Chapter 5, “The Family of Generalized Linear Models.” First, the authors unify the two preceding chapters under the exponential distribution. The material on the formal structure for generalized linear models (GLMs), likelihood equations, quasilikelihood, the gamma distribution family, and power functions as links is some of the most advanced material in the book. Most of the computational details are relegated to appendixes. A discussion of residuals returns one to a more practical perspective, and two long examples on gamma distribution applications provide excellent guidance on how to put this material into practice. One example is a contrast to the use of linear regression with a log transformation of the response, and the other is a comparison to the use of a different link function in the previous chapter. Chapter 6 considers generalized estimating equations (GEEs) for longitudinal and analogous studies. The rst half of the chapter presents the methodology, and the second half demonstrates its application through ve different examples. The basis for the general situation is rst established using the case with a normal distribution for the response and an identity link. The importance of the correlation structure is explained, the iterative estimation procedure is shown, and estimation for the scale parameters and the standard errors of the coef cients is discussed. The procedures are then generalized for the exponential family of distributions and quasi-likelihood estimation. Two of the examples are standard repeated-measures illustrations from biostatistical applications, but the last three illustrations are all interesting reworkings of industrial applications. The GEE computations in PROC GENMOD are applied to account for correlations that occur with multiple measurements on the subjects or restrictions to randomizations. The examples show that accounting for correlation structure can result in different conclusions. Chapter 7, “Further Advances and Applications in GLM,” discusses several additional topics. These are experimental designs for GLMs, asymptotic results, analysis of screening experiments, data transformation, modeling for both a process mean and variance, and generalized additive models. The material on experimental designs is more discursive than prescriptive and as a result is also somewhat theoretical. Similar comments apply for the discussion on the quality of the asymptotic results, which wallows a little too much in reports on various simulation studies. The examples on screening and data transformations experiments are again reworkings of analyses of familiar industrial examples and another obvious motivation for the enthusiasm that the authors have developed for using the GLM toolkit. One can hope that subsequent editions will similarly contain new examples that will have caused the authors to expand the material on generalized additive models and other topics in this chapter. Designating myself to review a book that I know I will love to read is one of the rewards of being editor. I read both of the editions of McCullagh and Nelder (1989), which was reviewed by Schuenemeyer (1992). That book was not fun to read. The obvious enthusiasm of Myers, Montgomery, and Vining and their reliance on their many examples as a major focus of their pedagogy make Generalized Linear Models a joy to read. Every statistician working in any area of applied science should buy it and experience the excitement of these new approaches to familiar activities.
10,520 citations
Additional excerpts
...(Nelder & Wedderbum 1972; McCullagh & Nelder 1989)...
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...(Nelder & Wedderbum 1972; McCullagh & Nelder 1989 )...
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