Sparse Screening for Exact Data Reduction · Sparse Screening for Exact Data Reduction ... Sparse...
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Sparse Screening for Exact Data Reduction
Jieping Ye Arizona State University
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Joint work with Jie Wang and Jun Liu
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How to do exact data reduction? The model learnt from the reduced data is identical to the model learnt from the full data:
q Lasso for wide data (feature reduction) q SVM for tall data (sample reduction)
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Lasso/Basis Pursuit (Tibshirani, 1996, Chen, Donoho, and Saunders, 1999)
… = × +
y A z
n×1 n×p n×1
p×1
x
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Simultaneous feature selection and regression
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Sparse Reduced-Rank Regression
7 Vounou et al. (2010, 2012)
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Structured Sparse Models
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Group Lasso
Tree Lasso
Fused Lasso
Graph Lasso
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Sparsity has become an important modeling tool in genomics, genetics, signal and audio processing, image processing, neuroscience (theory of sparse coding), machine learning, statistics …
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Optimization Algorithms
• Coordinate descent • Subgradient descent • Augmented Lagrangian Method • Gradient descent • Accelerated gradient descent • …
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min loss(x) + λ×penalty(x)
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Lasso
Fused Lasso
Group Lasso
Sparse Group Lasso
Tree Structured Group Lasso
Overlapping Group Lasso
Sparse Inverse Covariance Estimation
Trace Norm Minimization
http://www.public.asu.edu/~jye02/Software/SLEP/ 11
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More Efficiency?
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Very high dimensional data
Non-smooth sparsity-induced norms
Multiple runs in model selection
A large number of runs in permutation test
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How to make any existing Lasso solver much more efficient?
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1M 1K
Data Reduction/Compression
original data reduced data
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Data Reduction • Heuristic-based data reduction
– Sure screening, random projection/selection – Resulting model is an approximation of the true
model
• Propose data reduction methods – Exact data reduction via sparse screening
• The model based on reduced data is identical to the
one constructed from complete data
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with screening
same solution
1M
1M 1K
without screening
Sparse Screening
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More on the Dual Formulation
• Solving the dual formulation is difficult
• Providing a good (not exact) estimate of the optimal dual solution is easier
• A good estimate of the optimal dual solution is sufficient for effective feature screening
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How to Estimate the Region Θ?
J. Wang et al. NIPS’13; J. Liu et al. ICML’14
Non-expansiveness:
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Results on MNIST along a sequence of 100 parameter values along the λ/λmax scale from 0.05 to 1. The data matrix is of size 784x50,000
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Evaluation on MNIST solver SAFE DPP EDPP SDPP
time (s) 2245.26 685.12 233.85 45.56 9.34
0 50 100 150 200 250 300
SAFE DPP EDPP SDPP
Speedup
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Evaluation on ADNI
• Problem: GWAS to MRI ROI prediction (ADNI) – The size of the data matrix is 747 by 504095
Method ROI3 ROI8 ROI30 ROI69 ROI76 ROI83 Lasso Solver 37975.31 37097.25 38258.72 36926.81 38116.29 37251.03 SR 84.06 84.44 84.70 83.09 82.76 85.39 SR+Lasso 217.08 215.90 223.39 214.36 212.04 211.57 EDDP 43.56 45.75 45.70 45.01 44.31 44.16 EDDP+Lasso 183.64 190.43 182.87 170.71 177.41 178.98
Running time (in seconds) of the Lasso solver, strong rule (Tibshriani et al, 2012), and EDPP. The parameter sequence contains 100 values along the log λ/λmax scale from 100 log 0.95 to log 0.95.
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Sparse Screening Extensions • Group Lasso
– J Wang, J Liu, J Ye. Efficient Mixed-Norm Regularization: Algorithms and Safe Screening Methods. arXiv preprint arXiv:1307.4156.
• Sparse Logistic Regression – J Wang, J Zhou, P Wonka, J Ye. A Safe Screening Rule for Sparse Logistic
Regression. arXiv preprint arXiv:1307.4145.
• Sparse Inverse Covariance Estimation – S Huang, J Li, L Sun, J Liu, T Wu, K Chen, A Fleisher, E Reiman, J Ye. Learning
brain connectivity of Alzheimer’s disease by exploratory graphical models. NeuroImage 50, 935-949.
– Witten, Friedman and Simon (2011), Mazumder and Hastie (2012)
• Multiple Graphical Lasso – S Yang, Z Pan, X Shen, P Wonka, J Ye. Fused Multiple Graphical Lasso. arXiv
preprint arXiv:1209.2139. 27
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Support Vector Machines • SVM is a maximum margin classiCier.
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denotes +1
denotes -‐1
Margin
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Support Vectors • SVM is determined by the so-‐called support vectors.
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Support Vectors are those data points that the margin pushes up against
denotes +1
denotes -‐1
The non-‐support vectors are irrelevant to the classiCier.
Can we make use of this observation?
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The Idea of Sample Screening
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Original Problem Screening Smaller Problem to Solve
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Guidelines for Sample Screening
32 J. Wang, P. Wonka, and J. Ye. ICML’14.
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Synthetic Studies
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• We use the rejection rates to measure the performance of the screening rules, the ratio of the number of data instances whose membership can be identiCied by the rule to the total number of data instances.
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Performance of DVI for SVM on Real Data Sets
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Comparison of SSNSV (Ogawa et al., ICML’13), ESSNSV and DVIs for SVM on three real data sets.
IJCNN, , Speedup
Solver Total 4669.14
Solver + SSNSV
SSNSV 2.08
2.31 Init. 92.45
Total 2018.55
Solver + ESSNSV
ESSNSV 2.09
3.01 Init. 91.33
Total 1552.72
Solver + DVI
DVI 0.99
5.64 Init. 42.67
Total 828.02
Wine, , Speedup
Solver Total 76.52
Solver + SSNSV
SSNSV 0.02
3.50 Init. 1.56
Total 21.85
Solver + ESSNSV
ESSNSV 0.03
4.47 Init. 1.60
Total 17.17
Solver + DVI
DVI 0.01
6.59 Init. 0.67
Total 11.62
Covertype, , Speedup
Solver Total 1675.46
Solver + SSNSV
SSNSV 2.73
7.60 Init. 35.52
Total 220.58
Solver + ESSNSV
ESSNSV 2.89
10.72 Init. 36.13
Total 156.23
Solver + DVI
DVI 1.27
79.18 Init. 12.57
Total 21.26
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Experiments on Real Data Sets
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Comparison of SSNSV (Ogawa et al., ICML’13), ESSNSV and DVIs for LAD on three real data sets.
Telescope, , Speedup
Solver Total 122.34
Solver + DVI
DVI 0.28
9.86 Init. 0.12
Total 12.14
Computer, , Speedup
Solver Total 5.85
Solver + DVI
DVI 0.08
19.21 Init. 0.05
Total 0.28
Telescope, , Speedup
Solver Total 21.43
Solver + DVI
DVI 0.06
114.91 Init. 0.1
Total 0.19
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Summary • Developed exact data reduction approaches
– Exact data reduction via feature screening – Exact data reduction via sample screening
• The model based on reduced data is identical to the one constructed from complete data
• Results show screening leads to a significant speedup.
• Extend exact data reduction to other sparse learning formulations – Sparsity on features, samples, networks etc
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Resource
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• Tutorial webpages of our screening rules, which include sample codes, implementation instructions, illustration materials, etc.
http://www.public.asu.edu/~jwang237/screening.html
Seven lines implementation of EDPP rule
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