lecture_03

Linear approximation algorithm 0 0 let i1 j

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Unformatted text preview: d X ∗∗ = (I − P 1 )X ∗ . 2 2 2 j Apply the LARS algorithm to solve 1 ˆ y ∗ − X ∗∗ β ∗ β ∗ = arg max − 2 β∗ 2N 3 4 2 − λ β∗ 1 . ˆ ˆ Compute β ◦ = (X 1 X 1 )−1 X 1 (y − X ∗ β ∗ ). 2 We use I1 to index the components of β ◦ , and I2 to index the components of β ∗ . The final estimate of (13) is given by ˆ(1) βj = ˆ◦ βj ˆ∗ βj · λ ˆ(0) pλ (|βj |) when j ∈ I1 ; when j ∈ I2 . q q 4 q q q q q q q q q q 2 q q q q q q q q q q q q 0 q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q −2 q q q q q q −4 Coefficients q 0 1 2 λ 3 4 q q q 4 q q q q q q q q q q q q q q q q 0 q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q −2 q q q q q −4 Coefficients 2 q 0 1 2 λ 3 4 Penalized Likelihood If we assume i in (2) are i.i.d. N (0, σ 2 ), then N (2σ 2 )−1 i=1 (yi − xi β )2 is the logarithm of the conditional likelihood of y give X , and hence the penalized least squares can also be viewed as penalized likelihood. In general, the penalized likelihood function takes the form Q(β ) = 1 N p N i (β ) i=1 − pλ (|βj |), j =1 where i (β ) := i (xi β, yi , φ) is the log likelihood of the i-th training point (xi , yi ), with φ being some dispersion parameter. N ˆ Let (β ) = i=1 i (β ). For a given initial value β (0) (e.g. MLE), the log likelihood function can be locally approximated by a quadratic function ˆ (β ) ≈ (β (0) )+ 1 ˆ ˆ ˆ (β (0) )(β − β (0) )+ (β − β (0) ) 2 2 ˆ ˆ (β (0) )(β − β (0) ). Local Linear Approximation ˆ At the MLE β (0) , the gradient estimate is given by 1 ˆ ˆ (β − β (0) ) β (1) = arg max β ∈Rp 2 Write µi = xi β and written as i = ˆ (β (0) ) = 0, and hence the LLA p 2 ˆ ˆ (β (0) )(β − β (0) ) − j =1 i (µi , yi ), 2 ˆ(0) pλ (|βj |)|βj | . then the Hessian matrix can be ˆ (β (0) ) = X D X , where D is a N × N diagonal matrix with D ii = ∂ 2 i (µi ) ∂µ2 i , (0) (0) µi ˆ ˆ = xi β (0) . µi ˆ The LLA estimate can also be obtained using LARS algorithm....
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This note was uploaded on 10/01/2013 for the course FSRM 588 taught by Professor Xiao during the Fall '13 term at Rutgers.

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