High-Dimensional Function-on-Scale Regression via the Alternating Direction Method of Multipliers

Zhaohu Fan, Matthew Reimherr

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In [10] and [16], we proposed tools for simultaneous variable selection and parameter estimation in a functional linear model with a functional outcome and a large number of scalar predictor. We call these techniques Function-on-Scalar Lasso (FSL) and Adaptive Function-on-Scalar Lasso(AFSL). A scalar group lasso was used to fit the FSL and AFSL estimates. While this approach works well, we improve it by producing custom ADMM methods which are specifically designed for functional data. We propose this new framework as a computational tool for finding FSL estimates. Through our numerical studies, we demonstrate the computational improvement of our methodology.

Original languageEnglish (US)
Title of host publicationProceedings - 2016 3rd International Conference on Information Science and Control Engineering, ICISCE 2016
EditorsShaozi Li, Yun Cheng, Ying Dai
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages397-399
Number of pages3
ISBN (Electronic)9781509025350
DOIs
Publication statusPublished - Oct 31 2016
Event3rd International Conference on Information Science and Control Engineering, ICISCE 2016 - Beijing, China
Duration: Jul 8 2016Jul 10 2016

Publication series

NameProceedings - 2016 3rd International Conference on Information Science and Control Engineering, ICISCE 2016

Other

Other3rd International Conference on Information Science and Control Engineering, ICISCE 2016
CountryChina
CityBeijing
Period7/8/167/10/16

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All Science Journal Classification (ASJC) codes

  • Signal Processing
  • Control and Systems Engineering
  • Artificial Intelligence
  • Information Systems
  • Computer Networks and Communications
  • Computer Vision and Pattern Recognition

Cite this

Fan, Z., & Reimherr, M. (2016). High-Dimensional Function-on-Scale Regression via the Alternating Direction Method of Multipliers. In S. Li, Y. Cheng, & Y. Dai (Eds.), Proceedings - 2016 3rd International Conference on Information Science and Control Engineering, ICISCE 2016 (pp. 397-399). [7726190] (Proceedings - 2016 3rd International Conference on Information Science and Control Engineering, ICISCE 2016). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ICISCE.2016.93