Efficient methods for overlapping group Lasso

Lei Yuan, Jun Liu, Jieping Ye

Research output: Chapter in Book/Report/Conference proceedingConference contribution

61 Citations (Scopus)

Abstract

The group Lasso is an extension of the Lasso for feature selection on (predefined) non-overlapping groups of features. The non-overlapping group structure limits its applicability in practice. There have been several recent attempts to study a more general formulation, where groups of features are given, potentially with overlaps between the groups. The resulting optimization is, however, much more challenging to solve due to the group overlaps. In this paper, we consider the efficient optimization of the overlapping group Lasso penalized problem. We reveal several key properties of the proximal operator associated with the overlapping group Lasso, and compute the proximal operator by solving the smooth and convex dual problem, which allows the use of the gradient descent type of algorithms for the optimization. We have performed empirical evaluations using both synthetic and the breast cancer gene expression data set, which consists of 8,141 genes organized into (overlapping) gene sets. Experimental results show that the proposed algorithm is more efficient than existing state-of-the-art algorithms.

Original languageEnglish (US)
Title of host publicationAdvances in Neural Information Processing Systems 24: 25th Annual Conference on Neural Information Processing Systems 2011, NIPS 2011
StatePublished - 2011
Event25th Annual Conference on Neural Information Processing Systems 2011, NIPS 2011 - Granada, Spain
Duration: Dec 12 2011Dec 14 2011

Other

Other25th Annual Conference on Neural Information Processing Systems 2011, NIPS 2011
CountrySpain
CityGranada
Period12/12/1112/14/11

Fingerprint

Genes
Gene expression
Feature extraction

ASJC Scopus subject areas

  • Information Systems

Cite this

Yuan, L., Liu, J., & Ye, J. (2011). Efficient methods for overlapping group Lasso. In Advances in Neural Information Processing Systems 24: 25th Annual Conference on Neural Information Processing Systems 2011, NIPS 2011

Efficient methods for overlapping group Lasso. / Yuan, Lei; Liu, Jun; Ye, Jieping.

Advances in Neural Information Processing Systems 24: 25th Annual Conference on Neural Information Processing Systems 2011, NIPS 2011. 2011.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Yuan, L, Liu, J & Ye, J 2011, Efficient methods for overlapping group Lasso. in Advances in Neural Information Processing Systems 24: 25th Annual Conference on Neural Information Processing Systems 2011, NIPS 2011. 25th Annual Conference on Neural Information Processing Systems 2011, NIPS 2011, Granada, Spain, 12/12/11.
Yuan L, Liu J, Ye J. Efficient methods for overlapping group Lasso. In Advances in Neural Information Processing Systems 24: 25th Annual Conference on Neural Information Processing Systems 2011, NIPS 2011. 2011
Yuan, Lei ; Liu, Jun ; Ye, Jieping. / Efficient methods for overlapping group Lasso. Advances in Neural Information Processing Systems 24: 25th Annual Conference on Neural Information Processing Systems 2011, NIPS 2011. 2011.
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