[Forum SIS] Seminar: "The Hessian Screening Rule and Adaptive Paths for the Lasso", Johan Larsson, 21 September

[Umberto Picchini]

You are welcome to the next Statistics seminar at Dept of Mathematical 
Sciences at Chalmers and Göteborg University, Sweden.

We are very glad to have, on Tuesday 21 September,Johan Larsson (Lund 
University) who will talk on

/The Hessian Screening Rule and Adaptive Paths for the Lasso/
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*​Abstract *

Predictor screening rules, which discard predictors from the design matrix
before fitting the model, have had sizable impacts on the speed at which 
sparse
regression models, such as the lasso, can be solved in the high-dimensional
regime. Current state-of-the-art methods, however, face difficulties when
dealing with highly-correlated predictors, often becoming too conservative.

In this talk we introduce a new screening rule that deals with this 
issue: The
Hessian Screening Rule, which offers considerable improvements in 
computational
performance when fitting the lasso. These benefits result both from the
screening rule itself, but also from much-improved warm starts.

The Hessian Screening Rule also presents a welcome improvement to the
construction of the lasso path: the set of lasso models produced by 
varying the
strength of the penalization. The default approach, to a priori construct a
log-spaced penalty grid, often fails in approximating the true (exact) lasso
path. Leaning on the information already used when computing the Hessian
Screening Rule, however, we can improve upon the construction of this 
grid by
adaptively picking penalty parameters along the path.
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*Feel free to spread this announcement in your network.*
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*Where*: *room PASCAL and zoom* (physical attendance in Pascal is very 
welcome up to 30 people)
https://chalmers.zoom.us/j/69071292832 
<https://chalmers.zoom.us/j/69071292832>
Password: 969914

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*When*: Tuesday 21 September at 14.15-15.15 CEST .

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*About the speaker*
Johan Larsson**
Johan Larsson is PhD candidate at Department of Statistics, Lund University.
His personal page is https://larssonjohan.com/

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-- 
_________________________________________________________
Umberto Picchini, Associate Professor, PhD, Docent
https://umbertopicchini.github.io/  , twitter: @uPicchini

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