Joint Estimation of Structured Sparsity and Output Structure in Multiple-Output Regression via Inverse-Covariance Regularization
Kyung-Ah Sohn, Seyoung Kim ; JMLR W&CP 22: 1081-1089, 2012.
We consider the problem of learning a sparse regression model for predicting multiple related outputs given high-dimensional inputs, where related outputs are likely to share common relevant inputs. Most of the previous methods for learning structured sparsity assumed that the structure over the outputs is known a priori, and focused on designing regularization functions that encourage structured sparsity reflecting the given output structure. In this paper, we propose a new approach for sparse multiple-output regression that can jointly learn both the output structure and regression coefficients with structured sparsity. Our approach reformulates the standard regression model into an alternative parameterization that leads to a conditional Gaussian graphical model, and employes an inverse-covariance regularization. We show that the orthant-wise quasi-Newton algorithm developed for L1-regularized log-linear model can be adopted for a fast optimization for our method. We demonstrate our method on simulated datasets and real datasets from genetics and finances applications.