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Canhong Wen

Publications and source records attributed to Canhong Wen.

6 recordsLinked to original sources
arXiv2022

Simultaneous Best Subset Selection and Dimension Reduction via Primal-Dual Iterations

Sparse reduced rank regression is an essential statistical learning method. In the contemporary literature, estimation is typically formulated as a nonconvex optimization that often yields to a local optimum in numerical computation. Yet, their theoretical analysis is always centered on the global optimum, resulting in a discrepancy between the statistical guarantee and the numerical computation. In this research, we offer a new algorithm to address the problem and establish an almost optimal rate for the algorithmic solution. We also demonstrate that the algorithm achieves the estimation with a polynomial number of iterations. In addition, we present a generalized information criterion to simultaneously ensure the consistency of support set recovery and rank estimation. Under the proposed criterion, we show that our algorithm can achieve the oracle reduced rank estimation with a significant probability. The numerical studies and an application in the ovarian cancer genetic data demonstrate the effectiveness and scalability of our approach.

stat.ME↗
arXiv2022

Stability Approach to Regularization Selection for Reduced-Rank Regression

The reduced-rank regression model is a popular model to deal with multivariate response and multiple predictors, and is widely used in biology, chemometrics, econometrics, engineering, and other fields. In the reduced-rank regression modelling, a central objective is to estimate the rank of the coefficient matrix that represents the number of effective latent factors in predicting the multivariate response. Although theoretical results such as rank estimation consistency have been established for various methods, in practice rank determination still relies on information criterion based methods such as AIC and BIC or subsampling based methods such as cross validation. Unfortunately, the theoretical properties of these practical methods are largely unknown. In this paper, we present a novel method called StARS-RRR that selects the tuning parameter and then estimates the rank of the coefficient matrix for reduced-rank regression based on the stability approach. We prove that StARS-RRR achieves rank estimation consistency, i.e., the rank estimated with the tuning parameter selected by StARS-RRR is consistent to the true rank. Through a simulation study, we show that StARS-RRR outperforms other tuning parameter selection methods including AIC, BIC, and cross validation as it provides the most accurate estimated rank. In addition, when applied to a breast cancer dataset, StARS-RRR discovers a reasonable number of genetic pathways that affect the DNA copy number variations and results in a smaller prediction error than the other methods with a random-splitting process.

stat.ME↗
arXiv2020

The Effects of Stringent Interventions for Coronavirus Pandemic

The pandemic of COVID-19 has caused severe public health consequences around the world. Many interventions of COVID-19 have been implemented. It is of great public health and societal importance to evaluate the effects of interventions in the pandemic of COVID-19. In this paper, with help of synthetic control method, regression discontinuity and a Susceptible-Infected and infectious without isolation-Hospitalized in isolation-Removed (SIHR) model, we evaluate the horizontal and longitudinal effects of stringent interventions implemented in Wenzhou, a representative urban city of China, where stringent interventions were enforced to curb its own epidemic situation with rapidly increasing newly confirmed cases. We found that there were statistically significant treatment effects of those stringent interventions which reduced the cumulative confirmed cases of COVID-19. Those reduction effects would increase over time. Also, if the stringent interventions were delayed by 2 days or mild interventions were implemented instead, the expected number of cumulative confirmed cases would have been nearly 2 times or 5 times of the actual number. The effects of stringent interventions are significant in mitigating the epidemic situation of COVID-19. The slower the interventions were implemented, the more severe the epidemic would have been, and the stronger the interventions would have been required.

physics.soc-ph↗
arXiv2020

BeSS: An R Package for Best Subset Selection in Linear, Logistic and CoxPH Models

We introduce a new R package, BeSS, for solving the best subset selection problem in linear, logistic and Cox's proportional hazard (CoxPH) models. It utilizes a highly efficient active set algorithm based on primal and dual variables, and supports sequential and golden search strategies for best subset selection. We provide a C++ implementation of the algorithm using Rcpp interface. We demonstrate through numerical experiments based on enormous simulation and real datasets that the new BeSS package has competitive performance compared to other R packages for best subset selection purpose.

stat.CO↗
arXiv2020

Image denoising via K-SVD with primal-dual active set algorithm

K-SVD algorithm has been successfully applied to image denoising tasks dozens of years but the big bottleneck in speed and accuracy still needs attention to break. For the sparse coding stage in K-SVD, which involves $\ell_{0}$ constraint, prevailing methods usually seek approximate solutions greedily but are less effective once the noise level is high. The alternative $\ell_{1}$ optimization is proved to be powerful than $\ell_{0}$, however, the time consumption prevents it from the implementation. In this paper, we propose a new K-SVD framework called K-SVD$_P$ by applying the Primal-dual active set (PDAS) algorithm to it. Different from the greedy algorithms based K-SVD, the K-SVD$_P$ algorithm develops a selection strategy motivated by KKT (Karush-Kuhn-Tucker) condition and yields to an efficient update in the sparse coding stage. Since the K-SVD$_P$ algorithm seeks for an equivalent solution to the dual problem iteratively with simple explicit expression in this denoising problem, speed and quality of denoising can be reached simultaneously. Experiments are carried out and demonstrate the comparable denoising performance of our K-SVD$_P$ with state-of-the-art methods.

cs.CV↗