A Highly-Efficient Group Elastic Net Algorithm with an Application to Function-On-Scalar RegressionDownload PDF

Published: 09 Nov 2021, Last Modified: 05 May 2023NeurIPS 2021 PosterReaders: Everyone
Keywords: Feature selection, Group Elastic Net, Function-on-Scalar regression, Functional Principal Components, Augmented Lagrangian, GWAS
Abstract: Feature Selection and Functional Data Analysis are two dynamic areas of research, with important applications in the analysis of large and complex data sets. Straddling these two areas, we propose a new highly efficient algorithm to perform Group Elastic Net with application to function-on-scalar feature selection, where a functional response is modeled against a very large number of potential scalar predictors. First, we introduce a new algorithm to solve Group Elastic Net in ultra-high dimensional settings, which exploits the sparsity structure of the Augmented Lagrangian to greatly reduce the computational burden. Next, taking advantage of the properties of Functional Principal Components, we extend our algorithm to the function-on-scalar regression framework. We use simulations to demonstrate the CPU time gains afforded by our approach compared to its best existing competitors, and present an application to data from a Genome-Wide Association Study on childhood obesity.
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Supplementary Material: pdf
TL;DR: We propose a new highly efficient dual augmented Lagrangian method to solve Group Elastic Net and Function-on-Scalar feature selection
Code: https://github.com/tobiaboschi/fgen
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