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arXiv 2202.11389cs.LGstat.ML
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广义线性和可加模型的快速稀疏分类

Fast Sparse Classification for Generalized Linear and Additive Models

Duke University(杜克大学);University of British Columbia(不列颠哥伦比亚大学)

Jiachang Liu, Chudi Zhong, Margo Seltzer, Cynthia Rudin

摘要:

我们提出了稀疏广义线性和加法模型的快速分类技术。这些技术可以在几分钟内处理数千个特征和数千个观察结果,即使存在许多高度相关的特征。对于快速稀疏逻辑回归,我们的计算速度比其他最佳子集搜索技术要快,这要归功于逻辑损失的线性和二次替代切割,这使我们能够有效地筛选要消除的特征,以及使用优先级队列,有利于更均匀地探索特征。作为一种替代的逻辑损失,我们提出了指数损失,它允许在每次迭代的线搜索的解析解。我们的算法通常比以前的方法快2到5倍。它们生成可解释的模型,其准确性可与具有挑战性的数据集上的黑盒模型相媲美。

英文摘要:

We present fast classification techniques for sparse generalized linear and additive models. These techniques can handle thousands of features and thousands of observations in minutes, even in the presence of many highly correlated features. For fast sparse logistic regression, our computational speed-up over other best-subset search techniques owes to linear and quadratic surrogate cuts for the logistic loss that allow us to efficiently screen features for elimination, as well as use of a priority queue that favors a more uniform exploration of features. As an alternative to the logistic loss, we propose the exponential loss, which permits an analytical solution to the line search at each iteration. Our algorithms are generally 2 to 5 times faster than previous approaches. They produce interpretable models that have accuracy comparable to black box models on challenging datasets.

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