Support Recovery with Stochastic Gates: Theory and Application for Linear Models
Soham Jana, Henry Li, Yutaro Yamada, Ofir Lindenbaum
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- github.com/lihenryhfl/projection_stgOfficialIn paperpytorch★ 1
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.