Consistency of the Group Lasso and Multiple Kernel Learning

Francis R. Bach; 9(40):1179−1225, 2008.

Abstract

We consider the least-square regression problem with regularization by a block l1-norm, that is, a sum of Euclidean norms over spaces of dimensions larger than one. This problem, referred to as the group Lasso, extends the usual regularization by the l1-norm where all spaces have dimension one, where it is commonly referred to as the Lasso. In this paper, we study the asymptotic group selection consistency of the group Lasso. We derive necessary and sufficient conditions for the consistency of group Lasso under practical assumptions, such as model mis specification. When the linear predictors and Euclidean norms are replaced by functions and reproducing kernel Hilbert norms, the problem is usually referred to as multiple kernel learning and is commonly used for learning from heterogeneous data sources and for non linear variable selection. Using tools from functional analysis, and in particular covar iance operators, we extend the consistency results to this infinite dimensional case and also propose an adaptive scheme to obtain a consistent model estimate, even when the necessary condition required for the non adaptive scheme is not satisfied.

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