Feature and Variable Selection in Classification

The amount of information in the form of features and variables avail- able to machine learning algorithms is ever increasing. This can lead to classifiers that are prone to overfitting in high dimensions, high di- mensional models do not lend themselves to interpretable results, and the CPU and memory resources necessary to run on high-dimensional datasets severly limit the applications of the approaches. Variable and feature selection aim to remedy this by finding a subset of features that in some way captures the information provided best. In this paper we present the general methodology and highlight some specific approaches.Comment: Part of master seminar in document analysis held by Marcus Eichenberger-Liwick

Fully Bayesian Logistic Regression with Hyper-Lasso Priors for High-dimensional Feature Selection

High-dimensional feature selection arises in many areas of modern science. For example, in genomic research we want to find the genes that can be used to separate tissues of different classes (e.g. cancer and normal) from tens of thousands of genes that are active (expressed) in certain tissue cells. To this end, we wish to fit regression and classification models with a large number of features (also called variables, predictors). In the past decade, penalized likelihood methods for fitting regression models based on hyper-LASSO penalization have received increasing attention in the literature. However, fully Bayesian methods that use Markov chain Monte Carlo (MCMC) are still in lack of development in the literature. In this paper we introduce an MCMC (fully Bayesian) method for learning severely multi-modal posteriors of logistic regression models based on hyper-LASSO priors (non-convex penalties). Our MCMC algorithm uses Hamiltonian Monte Carlo in a restricted Gibbs sampling framework; we call our method Bayesian logistic regression with hyper-LASSO (BLRHL) priors. We have used simulation studies and real data analysis to demonstrate the superior performance of hyper-LASSO priors, and to investigate the issues of choosing heaviness and scale of hyper-LASSO priors.Comment: 33 pages. arXiv admin note: substantial text overlap with arXiv:1308.469

Ranking relations using analogies in biological and information networks

Analogical reasoning depends fundamentally on the ability to learn and generalize about relations between objects. We develop an approach to relational learning which, given a set of pairs of objects $\mathbf{S}=\{A^{(1)}:B^{(1)},A^{(2)}:B^{(2)},\ldots,A^{(N)}:B ^{(N)}\}$, measures how well other pairs A:B fit in with the set $\mathbf{S}$. Our work addresses the following question: is the relation between objects A and B analogous to those relations found in $\mathbf{S}$? Such questions are particularly relevant in information retrieval, where an investigator might want to search for analogous pairs of objects that match the query set of interest. There are many ways in which objects can be related, making the task of measuring analogies very challenging. Our approach combines a similarity measure on function spaces with Bayesian analysis to produce a ranking. It requires data containing features of the objects of interest and a link matrix specifying which relationships exist; no further attributes of such relationships are necessary. We illustrate the potential of our method on text analysis and information networks. An application on discovering functional interactions between pairs of proteins is discussed in detail, where we show that our approach can work in practice even if a small set of protein pairs is provided.Comment: Published in at http://dx.doi.org/10.1214/09-AOAS321 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

Incremental Sparse Bayesian Ordinal Regression

Ordinal Regression (OR) aims to model the ordering information between different data categories, which is a crucial topic in multi-label learning. An important class of approaches to OR models the problem as a linear combination of basis functions that map features to a high dimensional non-linear space. However, most of the basis function-based algorithms are time consuming. We propose an incremental sparse Bayesian approach to OR tasks and introduce an algorithm to sequentially learn the relevant basis functions in the ordinal scenario. Our method, called Incremental Sparse Bayesian Ordinal Regression (ISBOR), automatically optimizes the hyper-parameters via the type-II maximum likelihood method. By exploiting fast marginal likelihood optimization, ISBOR can avoid big matrix inverses, which is the main bottleneck in applying basis function-based algorithms to OR tasks on large-scale datasets. We show that ISBOR can make accurate predictions with parsimonious basis functions while offering automatic estimates of the prediction uncertainty. Extensive experiments on synthetic and real word datasets demonstrate the efficiency and effectiveness of ISBOR compared to other basis function-based OR approaches