Independently Interpretable Lasso: A New Regularizer for Sparse Regression with Uncorrelated Variables
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Sparse regularization such as ℓ_1 regularization is a quite powerful and widely used strategy for high dimensional learning problems. The effectiveness of sparse regularization have been supported practically and theoretically by several studies. However, one of the biggest issues in sparse regularization is that its performance is quite sensitive to correlations between features. Ordinary ℓ_1 regularization often selects variables correlated with each other, which results in deterioration of not only its generalization error but also interpretability. In this paper, we propose a new regularization method, "Independently Interpretable Lasso" (IILasso for short). Our proposed regularizer suppresses selecting correlated variables, and thus each active variables independently affect the objective variable in the model. Hence, we can interpret regression coefficients intuitively and also improve the performance by avoiding overfitting. We analyze theoretical property of IILasso and show that the proposed method is much advantageous for its sign recovery and achieves almost minimax optimal convergence rate. Synthetic and real data analyses also indicate the effectiveness of IILasso.
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