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Paper · 2110.15960 · 2021

Support Recovery with Stochastic Gates: Theory and Application for Linear Models

arXiv · PDF · Open in the Atlas

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RepositoryRoleRan
lihenryhfl/projection_stg canonical 4 of 5
FunctionStatusWhere it lives
omp Ran lihenryhfl/projection_stg/utils.py
code served (permissive licence) · get_code("55742b838876dad6")
omp_orig Ran lihenryhfl/projection_stg/utils.py
code served (permissive licence) · get_code("479a39a621c2edba")
regress Ran lihenryhfl/projection_stg/projection_stg.py
code served (permissive licence) · get_code("492f138ef22a87f7")
sample_z Ran lihenryhfl/projection_stg/projection_stg.py
code served (permissive licence) · get_code("f61147a4238c2354")
regress_mu Not yet run lihenryhfl/projection_stg/projection_stg.py
code served (permissive licence) · get_code("3ba9ea612187dc98")

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Abstract

Consider the problem of simultaneous estimation and support recovery of the coefficient vector in a linear data model with additive Gaussian noise. We study the problem of estimating the model coefficients based on a recently proposed non-convex regularizer, namely the stochastic gates (STG) [Yamada et al. 2020]. We suggest a new projection-based algorithm for solving the STG regularized minimization problem, and prove convergence and support recovery guarantees of the STG-estimator for a range of random and non-random design matrix setups. Our new algorithm has been shown to outperform the existing STG algorithm and other classical estimators for support recovery in various real and synthetic data analyses.

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