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Selection and Clustering of Correlated variables using OWL/GrOWL regularizers

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STSW04 - Future challenges in statistical scalability

In high-dimensional linear regression problems, it is likely that several covariates are highly correlated e.g. in fMRI data, certain voxels or brain regions may have very correlated activation patterns. Using standard sparsity-inducing regularization (such as Lasso) in such scenarios is known to be unsatisfactory, as it leads to the selection of a subset of the highly correlated covariates. For engineering purposes and/or scientific interpretability, it is often desirable to explicitly identify all of the covariates that are relevant for modeling the data. In this talk, I will present clustering properties and error bounds of Ordered Weighted $\ell_1$ (OWL) regularization for linear regression, and a group variant for multi-task regression called Group OWL (GrOWL). I will present the application of OWL /GrOWL in three settings: (1) Brain networks (2) Subspace clustering and (3) Deep Learning. I will demonstrate, in theory and experiments, how OWL /GrOWL deal with strongly correlated covariates by automatically clustering and averaging regression coefficients associated with those covariates. This is joint work with Robert Nowak, Mário Figueiredo, Tim Rogers and Chris Cox.

This talk is part of the Isaac Newton Institute Seminar Series series.

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