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arXiv 2104.02640math.STcs.AIcs.LGstat.MEstat.MLstat.TH
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A non-asymptotic approach for model selection via penalization in high-dimensional mixture of experts models

Normandie Univ(诺曼底大学);UNICAEN(卡昂大学);CNRS(法国国家科学研究中心);Univ. Grenoble Alpes(格勒诺布尔阿尔卑斯大学);Inria(法国国家信息与自动化研究所);Grenoble INP(格勒诺布尔国立理工学院);La Trobe University(乐卓博大学);University of Queensland(昆士兰大学)

TrungTin Nguyen, Hien Duy Nguyen, Faicel Chamroukhi, Florence Forbes

英文摘要:

Mixture of experts (MoE) are a popular class of statistical and machine learning models that have gained attention over the years due to their flexibility and efficiency. In this work, we consider Gaussian-gated localized MoE (GLoME) and block-diagonal covariance localized MoE (BLoME) regression models to present nonlinear relationships in heterogeneous data with potential hidden graph-structured interactions between high-dimensional predictors. These models pose difficult statistical estimation and model selection questions, both from a computational and theoretical perspective. This paper is devoted to the study of the problem of model selection among a collection of GLoME or BLoME models characterized by the number of mixture components, the complexity of Gaussian mean experts, and the hidden block-diagonal structures of the covariance matrices, in a penalized maximum likelihood estimation framework. In particular, we establish non-asymptotic risk bounds that take the form of weak oracle inequalities, provided that lower bounds for the penalties hold. The good empirical behavior of our models is then demonstrated on synthetic and real datasets.

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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