Efficient Regularized Regression for Variable Selection with L0 Penalty
This work addresses a key bottleneck in variable selection for high-dimensional data in fields like bioinformatics, offering a more efficient and accurate alternative to approximations like LASSO, though it is incremental as it builds on existing L0 regularization concepts.
The paper tackles the computational challenge of L0-regularized regression for variable selection in high-dimensional data by proposing an efficient EM algorithm (L0EM) that directly solves the NP-hard L0 optimization problem. Results show that L0EM outperforms LASSO and achieves similar performance with AIC/BIC as cross-validation, efficiently identifying non-zero variables with less bias in genomic data.
Variable (feature, gene, model, which we use interchangeably) selections for regression with high-dimensional BIGDATA have found many applications in bioinformatics, computational biology, image processing, and engineering. One appealing approach is the L0 regularized regression which penalizes the number of nonzero features in the model directly. L0 is known as the most essential sparsity measure and has nice theoretical properties, while the popular L1 regularization is only a best convex relaxation of L0. Therefore, it is natural to expect that L0 regularized regression performs better than LASSO. However, it is well-known that L0 optimization is NP-hard and computationally challenging. Instead of solving the L0 problems directly, most publications so far have tried to solve an approximation problem that closely resembles L0 regularization. In this paper, we propose an efficient EM algorithm (L0EM) that directly solves the L0 optimization problem. $L_0$EM is efficient with high dimensional data. It also provides a natural solution to all Lp p in [0,2] problems. The regularized parameter can be either determined through cross-validation or AIC and BIC. Theoretical properties of the L0-regularized estimator are given under mild conditions that permit the number of variables to be much larger than the sample size. We demonstrate our methods through simulation and high-dimensional genomic data. The results indicate that L0 has better performance than LASSO and L0 with AIC or BIC has similar performance as computationally intensive cross-validation. The proposed algorithms are efficient in identifying the non-zero variables with less-bias and selecting biologically important genes and pathways with high dimensional BIGDATA.