A Highly-Efficient Group Elastic Net Algorithm with an Application to Function-On-Scalar Regression

Tobia Boschi, Matthew Reimherr, Francesca Chiaromonte

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Scopus citations

Abstract

Feature Selection and Functional Data Analysis are two dynamic areas of research, with important applications in the analysis of large and complex data sets. Straddling these two areas, we propose a new highly efficient algorithm to perform Group Elastic Net with application to function-on-scalar feature selection, where a functional response is modeled against a very large number of potential scalar predictors. First, we introduce a new algorithm to solve Group Elastic Net in ultrahigh dimensional settings, which exploits the sparsity structure of the Augmented Lagrangian to greatly reduce computational burden. Next, taking advantage of the properties of Functional Principal Components, we extend our algorithm to the function-on-scalar regression framework. We use simulations to demonstrate the CPU time gains afforded by our approach compared to its best existing competitors, and present an application to data from a Genome Wide Association Study on childhood obesity.

Original languageEnglish (US)
Title of host publicationAdvances in Neural Information Processing Systems 34 - 35th Conference on Neural Information Processing Systems, NeurIPS 2021
EditorsMarc'Aurelio Ranzato, Alina Beygelzimer, Yann Dauphin, Percy S. Liang, Jenn Wortman Vaughan
PublisherNeural information processing systems foundation
Pages9264-9277
Number of pages14
ISBN (Electronic)9781713845393
StatePublished - 2021
Event35th Conference on Neural Information Processing Systems, NeurIPS 2021 - Virtual, Online
Duration: Dec 6 2021Dec 14 2021

Publication series

NameAdvances in Neural Information Processing Systems
Volume12
ISSN (Print)1049-5258

Conference

Conference35th Conference on Neural Information Processing Systems, NeurIPS 2021
CityVirtual, Online
Period12/6/2112/14/21

All Science Journal Classification (ASJC) codes

  • Computer Networks and Communications
  • Information Systems
  • Signal Processing

Fingerprint

Dive into the research topics of 'A Highly-Efficient Group Elastic Net Algorithm with an Application to Function-On-Scalar Regression'. Together they form a unique fingerprint.

Cite this