Robust Grouped Variable Selection Using Distributionally Robust Optimization

Chen, Ruidi; Paschalidis, Ioannis Ch.

doi:10.1007/s10957-022-02065-4

Robust Grouped Variable Selection Using Distributionally Robust Optimization

Journal Article · 28 June 2022 · Journal of Optimization Theory and Applications

DOI:https://doi.org/10.1007/s10957-022-02065-4· OSTI ID:1976692

Chen, Ruidi ^[1];

OSTI

Not provided.

Research Organization:: Boston Univ., MA (United States); Fraunhofer USA Inc., Plymouth, MI (United States)

Sponsoring Organization:: USDOE Advanced Research Projects Agency - Energy (ARPA-E)

DOE Contract Number:: AR0001282; EE0009696

OSTI ID:: 1976692

Journal Information:: Journal of Optimization Theory and Applications, Journal Name: Journal of Optimization Theory and Applications Journal Issue: 3 Vol. 194; ISSN 0022-3239

Publisher:: Springer

Country of Publication:: United States

Language:: English

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Learning models with uniform performance via distributionally robust optimization Duchi, John C.; Namkoong, Hongseok The Annals of Statistics, Vol. 49, Issue 3 https://doi.org/10.1214/20-AOS2004	journal	June 2021
Oracle inequalities and optimal inference under group sparsity Lounici, Karim; Pontil, Massimiliano; van de Geer, Sara The Annals of Statistics, Vol. 39, Issue 4 https://doi.org/10.1214/11-AOS896	journal	August 2011
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Regression Shrinkage and Selection Via the Lasso Tibshirani, Robert Journal of the Royal Statistical Society: Series B (Methodological), Vol. 58, Issue 1 https://doi.org/10.1111/j.2517-6161.1996.tb02080.x	journal	January 1996
Distributionally Robust Optimization and Its Tractable Approximations Goh, Joel; Sim, Melvyn Operations Research, Vol. 58, Issue 4-part-1 https://doi.org/10.1287/opre.1090.0795	journal	August 2010
The Group Square-Root Lasso: Theoretical Properties and Fast Algorithms Bunea, Florentina; Lederer, Johannes; She, Yiyuan IEEE Transactions on Information Theory, Vol. 60, Issue 2 https://doi.org/10.1109/TIT.2013.2290040	journal	February 2014
The Group-Lasso for generalized linear models Roth, Volker; Fischer, Bernd Proceedings of the 25th international conference on Machine learning - ICML '08 https://doi.org/10.1145/1390156.1390263	conference	January 2008
Regularization and variable selection via the elastic net Zou, Hui; Hastie, Trevor Journal of the Royal Statistical Society: Series B (Statistical Methodology), Vol. 67, Issue 2 https://doi.org/10.1111/j.1467-9868.2005.00503.x	journal	April 2005
Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems Delage, Erick; Ye, Yinyu Operations Research, Vol. 58, Issue 3 https://doi.org/10.1287/opre.1090.0741	journal	June 2010
Model selection and estimation in regression with grouped variables Yuan, Ming; Lin, Yi Journal of the Royal Statistical Society: Series B (Statistical Methodology), Vol. 68, Issue 1 https://doi.org/10.1111/j.1467-9868.2005.00532.x	journal	February 2006
Distributionally robust joint chance constraints with second-order moment information Zymler, Steve; Kuhn, Daniel; Rustem, Berç Mathematical Programming, Vol. 137, Issue 1-2 https://doi.org/10.1007/s10107-011-0494-7	journal	November 2011
The Group Lasso for Logistic Regression Meier, Lukas; Van De Geer, Sara; Bühlmann, Peter Journal of the Royal Statistical Society Series B: Statistical Methodology, Vol. 70, Issue 1 https://doi.org/10.1111/j.1467-9868.2007.00627.x	journal	January 2008
Normalized cuts and image segmentation No authors listed IEEE Transactions on Pattern Analysis and Machine Intelligence, Vol. 22, Issue 8 https://doi.org/10.1109/34.868688	journal	January 2000
The composite absolute penalties family for grouped and hierarchical variable selection Zhao, Peng; Rocha, Guilherme; Yu, Bin The Annals of Statistics, Vol. 37, Issue 6A https://doi.org/10.1214/07-AOS584	journal	December 2009
Group lasso with overlap and graph lasso Jacob, Laurent; Obozinski, Guillaume; Vert, Jean-Philippe Proceedings of the 26th Annual International Conference on Machine Learning https://doi.org/10.1145/1553374.1553431	conference	June 2009

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