Wasserstein Logistic Regression with Mixed Features

Recent work has leveraged the popular distributionally robust optimization paradigm to combat overfitting in classical logistic regression. While the resulting classification scheme displays a promising performance in numerical experiments, it is inherently limited to numerical features. In this paper, we show that distributionally robust logistic regression with mixed (i.e., numerical and categorical) features, despite amounting … Read more

Optimizing investment allocation: a combination of Logistic Regression and Markowitz model

One of the biggest challenges in quantitative finance is the efficient allocation of capital. Thus, in this study, a two-step methodology was proposed, in which a combination of logistic regression and Markowitz model was performed to determine optimized portfolios. In this context, in the first step, fundamentalist indicators were used as inputs to the logistic … Read more

A Subspace Acceleration Method for Minimization Involving a Group Sparsity-Inducing Regularizer

We consider the problem of minimizing an objective function that is the sum of a convex function and a group sparsity-inducing regularizer. Problems that integrate such regularizers arise in modern machine learning applications, often for the purpose of obtaining models that are easier to interpret and that have higher predictive accuracy. We present a new … Read more

Condition Number Analysis of Logistic Regression, and its Implications for Standard First-Order Solution Methods

Logistic regression is one of the most popular methods in binary classification, wherein estimation of model parameters is carried out by solving the maximum likelihood (ML) optimization problem, and the ML estimator is defined to be the optimal solution of this problem. It is well known that the ML estimator exists when the data is … Read more

A Stochastic Trust Region Algorithm Based on Careful Step Normalization

An algorithm is proposed for solving stochastic and finite sum minimization problems. Based on a trust region methodology, the algorithm employs normalized steps, at least as long as the norms of the stochastic gradient estimates are within a specified interval. The complete algorithm—which dynamically chooses whether or not to employ normalized steps—is proved to have … Read more

Linear Convergence of Gradient and Proximal-Gradient Methods Under the Polyak-Lojasiewicz Condition

In 1963, Polyak proposed a simple condition that is sufficient to show a global linear convergence rate for gradient descent. This condition is a special case of the Lojasiewicz inequality proposed in the same year, and it does not require strong convexity (or even convexity). In this work, we show that this much-older Polyak-Lojasiewicz (PL) … Read more

Distributionally Robust Logistic Regression

This paper proposes a distributionally robust approach to logistic regression. We use the Wasserstein distance to construct a ball in the space of probability distributions centered at the uniform distribution on the training samples. If the radius of this ball is chosen judiciously, we can guarantee that it contains the unknown data-generating distribution with high … Read more

A Coordinate Gradient Descent Method for L_1-regularized Convex Minimization

In applications such as signal processing and statistics, many problems involve finding sparse solutions to under-determined linear systems of equations. These problems can be formulated as a structured nonsmooth optimization problems, i.e., the problem of minimizing L_1-regularized linear least squares problems. In this paper, we propose a block coordinate gradient descent method (abbreviated as CGD) … Read more

LASSO-Patternsearch Algorithm with Application to Ophthalmology and Genomic Data

The LASSO-Patternsearch algorithm is proposed as a two-step method to identify clusters or patterns of multiple risk factors for outcomes of interest in demographic and genomic studies. The predictor variables are dichotomous or can be coded as dichotomous. Many diseases are suspected of having multiple interacting risk factors acting in concert, and it is of … Read more