Web: http://arxiv.org/abs/2007.15707

May 9, 2022, 1:10 a.m. | Ning Xu, Timothy C.G. Fisher

stat.ML updates on arXiv.org arxiv.org

We propose a new variable selection algorithm, subsample-ordered least-angle
regression (solar), and its coordinate descent generalization, solar-cd. Solar
re-constructs lasso paths using the $L_0$ norm and averages the resulting
solution paths across subsamples. Path averaging retains the ranking
information of the informative variables while averaging out sensitivity to
high dimensionality, improving variable selection stability, efficiency, and
accuracy. We prove that: (i) with a high probability, path averaging perfectly
separates informative variables from redundant variables on the average $L_0$
path; (ii) …

arxiv data ml path solar

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