报告人：刘妍岩
报告地点：数学与统计学院415室
报告时间：2018年06月15日星期五09:20-10:20
邀请人：
报告摘要：
We develop a constructive approach to estimating sparse, high-dimensional linear regression models.The approach is a computational algorithm motivated from the KKT conditions for the $\ell_0$-penalized least squares solutions. It generates a sequence of solutions iteratively, based on support detection using primal and dual information and root finding. We refer to the algorithm as SDAR for brevity. Under a sparse Rieze condition on the design matrix and certain other conditions, we show that with high probability, the $\ell_2$ estimation error of the solution sequence decays exponentially to the minimax error bound in $O(\sqrt{J}\log(R))$ steps; and under a mutual coherence condition and certain other conditions, the $\ell_{\infty}$ estimation error decays to the optimal error bound in $O(\log(R))$ steps, where $J$ is the number of important predictors, $R$ is the relative magnitude of the nonzero target coefficients. Computational complexity analysis shows that the cost of SDAR is $O(np)$ per iteration. Moreover the oracle least squares estimator can be exactly recovered with high probability at the same cost if we know the sparsity level. We also consider an adaptive version of SDAR to make it more practical in applications. Numerical comparisons with Lasso, MCP and greedy methods demonstrate that SDAR is competitive with or outperforms them in accuracy and efficiency.
主讲人简介：
刘妍岩，教授，武汉大学理学博士，主要研究方向概率论与数理统计、分形几何。先后到香港中文大学、德国Greifswald 大学访问。1997年参加的研究项目《软件可靠性专家系统》（第5完成人）获国家教委科技进步三等奖。
