DOS Seminar - Rahul Mazumder

Event Details
  • Date/Time:
    • Monday May 1, 2017
      11:00 am - 12:00 pm
  • Location: Groseclose 402
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Summary Sentence: DOS Seminar - Rahul Mazumder

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TITLE:  Understanding Best Subset Selection

ABSTRACT:

Sparsity plays a key role in linear statistical modeling and beyond. In this talk I will discuss the best subset selection problem, a central problem in statistics, wherein the task is to select a set of k relevant features from among p variables, given n samples. I will discuss recent computational techniques relying on integer optimization and first order optimization methods, that enable us to obtain high-quality, near-optimal solutions for best-subsets regression, for sizes well beyond what was considered possible.  This sheds interesting new insights into the statistical behavior of subset selection problems vis-a-vis popular, computationally friendlier methods like L1 regularization -- thereby motivating the design of new statistical estimators with better statistical and computational properties.  If time permits, I will also discuss another closely related, extremely effective, but relatively less understood sparse regularization scheme: the forward stage-wise regression (aka Boosting) in linear models.

Additional Information

In Campus Calendar
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H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Faculty/Staff, Public, Undergraduate students
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Status
  • Created By: phand3
  • Workflow Status: Published
  • Created On: Apr 28, 2017 - 12:22pm
  • Last Updated: Apr 28, 2017 - 6:33pm