Decentralised Sparse Multi-Task Regression

4 June 2019
14:00
Dominic Richards
Abstract

We consider a sparse multi-task regression framework for fitting a collection of related sparse models. Representing models as nodes in a graph with edges between related models, a framework that fuses lasso regressions with the total variation penalty is investigated. Under a form of generalised restricted eigenvalue assumption, bounds on prediction and squared error are given that depend upon the sparsity of each model and the differences between related models. This assumption relates to the smallest eigenvalue restricted to the intersection of two cone sets of the covariance matrix constructed from each of the agents' covariances. In the case of a grid topology high-probability bounds are given that match, up to log factors, the no-communication setting of fitting a lasso on each model, divided by the number of agents.  A decentralised dual method that exploits a convex-concave formulation of the penalised problem is proposed to fit the models and its effectiveness demonstrated on simulations. (Joint work with Sahand Negahban and Patrick Rebeschini)

  • Numerical Analysis Group Internal Seminar