Sparse model construction using coordinate descent optimization

Xia Hong, Yi Guo, Sheng Chen, Junbin Gao

Abstract: We propose a new sparse model construction method aimed at maximizing a model's generalisation capability for a large class of linear-in-the-parameters models. The coordinate descent optimization algorithm is employed with a modified l <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">1</sub> - penalized least squares cost function in order to estimate a single parameter and its regularization parameter simultaneously based on the leave one out mean square error (LOOMSE). Our original contribution is to derive a closed form of optimal LOOMSE regularization parameter for a single term model, for which we show that the LOOMSE can be analytically computed without actually splitting the data set leading to a very simple parameter estimation method. We then integrate the new results within the coordinate descent optimization algorithm to update model parameters one at the time for linear-in-the-parameters models. Consequently a fully automated procedure is achieved without resort to any other validation data set for iterative model evaluation. Illustrative examples are included to demonstrate the effectiveness of the new approaches.