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Alternating Estimation for Structured High-Dimensional Multi-Response Models
Sheng Chen · Arindam Banerjee

Tue Dec 05 06:30 PM -- 10:30 PM (PST) @ Pacific Ballroom #210 #None

We consider the problem of learning high-dimensional multi-response linear models with structured parameters. By exploiting the noise correlations among different responses, we propose an alternating estimation (AltEst) procedure to estimate the model parameters based on the generalized Dantzig selector (GDS). Under suitable sample size and resampling assumptions, we show that the error of the estimates generated by AltEst, with high probability, converges linearly to certain minimum achievable level, which can be tersely expressed by a few geometric measures, such as Gaussian width of sets related to the parameter structure. To the best of our knowledge, this is the first non-asymptotic statistical guarantee for such AltEst-type algorithm applied to estimation with general structures.

Author Information

Sheng Chen (University of Minnesota)
Arindam Banerjee (Voleon)

Arindam Banerjee is a Professor at the Department of Computer & Engineering and a Resident Fellow at the Institute on the Environment at the University of Minnesota, Twin Cities. His research interests are in machine learning, data mining, and applications in complex real-world problems in different areas including climate science, ecology, recommendation systems, text analysis, and finance. He has won several awards, including the NSF CAREER award (2010), the IBM Faculty Award (2013), and six best paper awards in top-tier conferences.

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