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arXiv · 1705.00687

Convex-constrained Sparse Additive Modeling and Its Extensions

Junming Yin·Yaoliang Yu
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Abstract

Sparse additive modeling is a class of effective methods for performing high-dimensional nonparametric regression. In this work we show how shape constraints such as convexity/concavity and their extensions, can be integrated into additive models. The proposed sparse difference of convex additive models (SDCAM) can estimate most continuous functions without any a priori smoothness assumption. Motivated by a characterization of difference of convex functions, our method incorporates a natural regularization functional to avoid overfitting and to reduce model complexity. Computationally, we develop an efficient backfitting algorithm with linear per-iteration complexity. Experiments on both synthetic and real data verify that our method is competitive against state-of-the-art sparse additive models, with improved performance in most scenarios.

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Junming Yin, Yaoliang Yu. 2017-05-01. Convex-constrained Sparse Additive Modeling and Its Extensions. https://arxiv.org/abs/1705.00687

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