ν-SVM solutions of constrained lasso and elastic net
Many important linear sparse models have at its core the Lasso problem, for which the GLMNet algorithm is often considered as the current state of the art. Recently M. Jaggi has observed that Constrained Lasso (CL) can be reduced to an SVM-like problem, for which the LIBSVM library provides very eff...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2018 |
| País: | España |
| Institución: | Universidad Autónoma de Madrid |
| Repositorio: | Biblos-e Archivo. Repositorio Institucional de la UAM |
| Idioma: | inglés |
| OAI Identifier: | oai:repositorio.uam.es:10486/692651 |
| Acceso en línea: | http://hdl.handle.net/10486/692651 https://dx.doi.org/10.1016/j.neucom.2017.10.029 |
| Access Level: | acceso abierto |
| Palabra clave: | Lasso GLMNet Nearest Point Problem SVM Informática |
| Sumario: | Many important linear sparse models have at its core the Lasso problem, for which the GLMNet algorithm is often considered as the current state of the art. Recently M. Jaggi has observed that Constrained Lasso (CL) can be reduced to an SVM-like problem, for which the LIBSVM library provides very efficient algorithms. This suggests that it could also be used advantageously to solve CL. In this work we will refine Jaggi’s arguments to reduce CL as well as constrained Elastic Net to a Nearest Point Problem, which in turn can be rewritten as an appropriate ν-SVM problem solvable by LIBSVM. We will also show experimentally that the well-known LIBSVM library results in a faster convergence than GLMNet for small problems and also, if properly adapted, for larger ones. Screening is another ingredient to speed up solving Lasso. Shrinking can be seen as the simpler alternative of SVM to screening and we will discuss how it also may in some cases reduce the cost of an SVM-based CL solution |
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