Support Recovery with Stochastic Gates: Theory and Application for Linear Models

10/29/2021

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by   Soham Jana, et al.

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We analyze the problem of simultaneous support recovery and estimation of the coefficient vector (β^*) in a linear model with independent and identically distributed Normal errors. We apply the penalized least square estimator based on non-linear penalties of stochastic gates (STG) [YLNK20] to estimate the coefficients. Considering Gaussian design matrices we show that under reasonable conditions on dimension and sparsity of β^* the STG based estimator converges to the true data generating coefficient vector and also detects its support set with high probability. We propose a new projection based algorithm for linear models setup to improve upon the existing STG estimator that was originally designed for general non-linear models. Our new procedure outperforms many classical estimators for support recovery in synthetic data analysis.