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Tree-Guided Group Lasso for Multi-Task Regression with Structured Sparsity

11 years 2 months ago
Tree-Guided Group Lasso for Multi-Task Regression with Structured Sparsity
We consider the problem of learning a sparse multi-task regression, where the structure in the outputs can be represented as a tree with leaf nodes as outputs and internal nodes as clusters of the outputs at multiple granularity. Our goal is to recover the common set of relevant inputs for each output cluster. Assuming that the tree structure is available as prior knowledge, we formulate this problem as a new multi-task regularized regression called tree-guided group lasso. Our structured regularization is based on a grouplasso penalty, where groups are defined with respect to the tree structure. We describe a systematic weighting scheme for the groups in the penalty such that each output variable is penalized in a balanced manner even if the groups overlap. We present an efficient optimization method that can handle a largescale problem. Using simulated and yeast datasets, we demonstrate that our method shows a superior performance in terms of both prediction errors and recovery of t...
Seyoung Kim, Eric P. Xing
Added 09 Nov 2010
Updated 09 Nov 2010
Type Conference
Year 2010
Where ICML
Authors Seyoung Kim, Eric P. Xing
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