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Statistics > Computation

arXiv:2204.08386 (stat)
[Submitted on 18 Apr 2022]

Title:Optimal Subsampling for High-dimensional Ridge Regression

Authors:Hanyu Li, Chengmei Niu
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Abstract:We investigate the feature compression of high-dimensional ridge regression using the optimal subsampling technique. Specifically, based on the basic framework of random sampling algorithm on feature for ridge regression and the A-optimal design criterion, we first obtain a set of optimal subsampling probabilities. Considering that the obtained probabilities are uneconomical, we then propose the nearly optimal ones. With these probabilities, a two step iterative algorithm is established which has lower computational cost and higher accuracy. We provide theoretical analysis and numerical experiments to support the proposed methods. Numerical results demonstrate the decent performance of our methods.
Subjects: Computation (stat.CO); Numerical Analysis (math.NA); Statistics Theory (math.ST)
Cite as: arXiv:2204.08386 [stat.CO]
  (or arXiv:2204.08386v1 [stat.CO] for this version)
  https://doi.org/10.48550/arXiv.2204.08386

Submission history

From: Hanyu Li Dr. [view email]
[v1] Mon, 18 Apr 2022 16:19:38 UTC (1,136 KB)
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