PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Taking advantage of sparsity in multi-task learning.
K. Lounici, M. Pontil, A.B. Tsybakov and S. van de Geer
In: COLT 2009(2009).


We study the problem of estimating multiple linear regression equations for the purpose of both prediction and variable selection. Following recent work on multi-task learning, we assume that the sparsity patterns of the regression vectors are included in the same set of small cardinality. This assumption leads us to consider the Group Lasso as a candidate estimation method. We show that this estimator enjoys nice sparsity oracle inequalities and variable selection properties. The results hold under a certain restricted eigenvalue condition and a coherence condition on the design matrix. In particular, in the multi-task learning scenario, in which the number of tasks can grow, we are able to remove completely the effect of the number of predictor variables in the bounds. Finally, we show how our results can be extended to more general noise distributions, of which we only require the finite variance of the noise.

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EPrint Type:Conference or Workshop Item (Talk)
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Computational, Information-Theoretic Learning with Statistics
Learning/Statistics & Optimisation
ID Code:6920
Deposited By:Alexandre Tsybakov
Deposited On:16 April 2010