Sparse-group boosting -- Unbiased group and variable selection

arXiv:2206.06344v2 Announce Type: replace-cross
Abstract: In the presence of grouped covariates, we propose a framework for boosting that allows to enforce sparsity within and between groups. By using component-wise and group-wise gradient boosting at the same time with adjusted degrees of freedom, a model with similar properties as the sparse group lasso can be fitted through boosting. We show that within-group and between-group sparsity can be controlled by a mixing parameter and discuss similarities and differences to the mixing parameter …

abstract arxiv boosting framework freedom gradient lasso sparsity stat.me stat.ml type unbiased wise