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arXiv 1505.04073cs.LG
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多数据矩阵下多任务特征学习的安全筛选

Safe Screening for Multi-Task Feature Learning with Multiple Data Matrices

University of Michigan(密歇根大学)

Jie Wang, Jieping Ye

摘要:

多任务特征学习(MTFL)是一种通过同时学习多个相关的分类/回归/聚类任务来提高预测性能的强大技术。然而,当特征尺寸非常大时,解决MTFL问题仍然具有挑战性。在本文中,我们提出了一种新的筛选规则-这是基于对偶投影到凸集(DPC)-快速识别非活动功能-在所有任务的解决方案向量中的系数为零。DPC的一个吸引人的特点是:它是安全的,在这个意义上,检测到的不活动的功能,保证在所有任务的解决方案向量中的系数为零。因此,通过从训练阶段移除不活跃的特征,我们可以在不牺牲准确性的情况下节省大量的计算成本和内存使用。据我们所知,这是适用于具有多个数据矩阵的稀疏模型的第一个筛选规则。在推导DPC的一个关键挑战是解决一个非凸问题。我们表明,我们可以有效地解决通过适当选择的参数化的约束集的全局最优解。此外,DPC具有非常低的计算成本,可以与任何现有的求解器集成。我们已经评估了建议的DPC规则的合成和真实的数据集。实验表明,DPC是非常有效的识别无效的功能-特别是对高维数据-这导致了几个数量级的加速。

英文摘要:

Multi-task feature learning (MTFL) is a powerful technique in boosting the predictive performance by learning multiple related classification/regression/clustering tasks simultaneously. However, solving the MTFL problem remains challenging when the feature dimension is extremely large. In this paper, we propose a novel screening rule---that is based on the dual projection onto convex sets (DPC)---to quickly identify the inactive features---that have zero coefficients in the solution vectors across all tasks. One of the appealing features of DPC is that: it is safe in the sense that the detected inactive features are guaranteed to have zero coefficients in the solution vectors across all tasks. Thus, by removing the inactive features from the training phase, we may have substantial savings in the computational cost and memory usage without sacrificing accuracy. To the best of our knowledge, it is the first screening rule that is applicable to sparse models with multiple data matrices. A key challenge in deriving DPC is to solve a nonconvex problem. We show that we can solve for the global optimum efficiently via a properly chosen parametrization of the constraint set. Moreover, DPC has very low computational cost and can be integrated with any existing solvers. We have evaluated the proposed DPC rule on both synthetic and real data sets. The experiments indicate that DPC is very effective in identifying the inactive features---especially for high dimensional data---which leads to a speedup up to several orders of magnitude.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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