156 research outputs found
NARX-based nonlinear system identification using orthogonal least squares basis hunting
An orthogonal least squares technique for basis hunting (OLS-BH) is proposed to construct sparse radial basis function (RBF) models for NARX-type nonlinear systems. Unlike most of the existing RBF or kernel modelling methods, whichplaces the RBF or kernel centers at the training input data points and use a fixed common variance for all the regressors, the proposed OLS-BH technique tunes the RBF center and diagonal covariance matrix of individual regressor by minimizing the training mean square error. An efficient optimization method isadopted for this basis hunting to select regressors in an orthogonal forward selection procedure. Experimental results obtained using this OLS-BH technique demonstrate that it offers a state-of-the-art method for constructing parsimonious RBF models with excellent generalization performance
boosting in kernel regression
In this paper, we investigate the theoretical and empirical properties of
boosting with kernel regression estimates as weak learners. We show that
each step of boosting reduces the bias of the estimate by two orders of
magnitude, while it does not deteriorate the order of the variance. We
illustrate the theoretical findings by some simulated examples. Also, we
demonstrate that boosting is superior to the use of higher-order kernels,
which is a well-known method of reducing the bias of the kernel estimate.Comment: Published in at http://dx.doi.org/10.3150/08-BEJ160 the Bernoulli
(http://isi.cbs.nl/bernoulli/) by the International Statistical
Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm
Comment: Boosting Algorithms: Regularization, Prediction and Model Fitting
The authors are doing the readers of Statistical Science a true service with
a well-written and up-to-date overview of boosting that originated with the
seminal algorithms of Freund and Schapire. Equally, we are grateful for
high-level software that will permit a larger readership to experiment with, or
simply apply, boosting-inspired model fitting. The authors show us a world of
methodology that illustrates how a fundamental innovation can penetrate every
nook and cranny of statistical thinking and practice. They introduce the reader
to one particular interpretation of boosting and then give a display of its
potential with extensions from classification (where it all started) to least
squares, exponential family models, survival analysis, to base-learners other
than trees such as smoothing splines, to degrees of freedom and regularization,
and to fascinating recent work in model selection. The uninitiated reader will
find that the authors did a nice job of presenting a certain coherent and
useful interpretation of boosting. The other reader, though, who has watched
the business of boosting for a while, may have quibbles with the authors over
details of the historic record and, more importantly, over their optimism about
the current state of theoretical knowledge. In fact, as much as ``the
statistical view'' has proven fruitful, it has also resulted in some ideas
about why boosting works that may be misconceived, and in some recommendations
that may be misguided. [arXiv:0804.2752]Comment: Published in at http://dx.doi.org/10.1214/07-STS242B the Statistical
Science (http://www.imstat.org/sts/) by the Institute of Mathematical
Statistics (http://www.imstat.org
Remembrance of Leo Breiman
In 1994, I came to Berkeley and was fortunate to stay there three years,
first as a postdoctoral researcher and then as Neyman Visiting Assistant
Professor. For me, this period was a unique opportunity to see other aspects
and learn many more things about statistics: the Department of Statistics at
Berkeley was much bigger and hence broader than my home at ETH Z\"urich and I
enjoyed very much that the science was perhaps a bit more speculative. As soon
as I settled in the department, I tried to get in touch with the local faculty.
Leo Breiman started a reading group on topics in machine learning and I didn't
hesitate to participate together with other Ph.D. students. Leo spread a
tremendous amount of enthusiasm, telling us about the vast opportunity we now
had by taking advantage of computational power. Hearing his views and opinions
and listening to his thoughts and ideas has been very exciting, stimulating and
entertaining as well. This was my first occasion to get to know Leo. And there
was, at least a bit, a vice-versa implication: now, Leo knew my name and who I
am. Whenever we saw each other on the 4th floor in Evans Hall, I got a very
gentle smile and "hello" from Leo. And in fact, this happened quite often: I
often walked around while thinking about a problem, and it seemed to me, that
Leo had a similar habit.Comment: Published in at http://dx.doi.org/10.1214/10-AOAS381 the Annals of
Applied Statistics (http://www.imstat.org/aoas/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Selection of Ordinally Scaled Independent Variables
Ordinal categorial variables are a common case in regression
modeling. Although the case of ordinal response variables has been well investigated, less work has been done concerning ordinal predictors. This article deals with the selection of ordinally scaled independent variables in the classical linear model, where the ordinal structure is taken into account by use of a difference penalty on adjacent dummy coefficients. It is shown how the Group Lasso can be used for the selection of ordinal predictors, and an alternative blockwise Boosting procedure is proposed. Emphasis is placed on the application of the presented methods to the (Comprehensive) ICF Core Set for chronic widespread pain.
The paper is a preprint of an article accepted for publication in the Journal of the Royal Statistical Society Series C (Applied Statistics). Please use the journal version for citation
Proximal boosting and its acceleration
Gradient boosting is a prediction method that iteratively combines weak
learners to produce a complex and accurate model. From an optimization point of
view, the learning procedure of gradient boosting mimics a gradient descent on
a functional variable. This paper proposes to build upon the proximal point
algorithm when the empirical risk to minimize is not differentiable to
introduce a novel boosting approach, called proximal boosting. Besides being
motivated by non-differentiable optimization, the proposed algorithm benefits
from Nesterov's acceleration in the same way as gradient boosting [Biau et al.,
2018]. This leads to a variant, called accelerated proximal boosting.
Advantages of leveraging proximal methods for boosting are illustrated by
numerical experiments on simulated and real-world data. In particular, we
exhibit a favorable comparison over gradient boosting regarding convergence
rate and prediction accuracy
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