arXiv · 1707.09157
Efficient Algorithms for Non-convex Isotonic Regression through Submodular Optimization
Abstract
We consider the minimization of submodular functions subject to ordering constraints. We show that this optimization problem can be cast as a convex optimization problem on a space of uni-dimensional measures, with ordering constraints corresponding to first-order stochastic dominance. We propose new discretization schemes that lead to simple and efficient algorithms based on zero-th, first, or higher order oracles; these algorithms also lead to improvements without isotonic constraints. Finally, our experiments show that non-convex loss functions can be much more robust to outliers for isotonic regression, while still leading to an efficient optimization problem.
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Francis Bach. 2017-07-28. Efficient Algorithms for Non-convex Isotonic Regression through Submodular Optimization. https://arxiv.org/abs/1707.09157
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