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Nonparametric Regression and Classification with Joint Sparsity Constraints
journal contributionposted on 2005-06-01, 00:00 authored by Han Liu, John Lafferty, Larry Wasserman
We propose new families of models and algorithms for high-dimensional nonpara- metric learning with joint sparsity constraints. Our approach is based on a regular- ization method that enforces common sparsity patterns across different function components in a nonparametric additive model. The algorithms employ a coor- dinate descent approach that is based on a functional soft-thresholding operator. The framework yields several new models, including multi-task sparse additive models, multi-response sparse additive models, and sparse additive multi-category logistic regression. The methods are illustrated with experiments on synthetic data and gene microarray data.