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HiQR: An efficient algorithm for high-dimensional quadratic regression with penalties.

Authors :
Wang, Cheng
Chen, Haozhe
Jiang, Binyan
Source :
Computational Statistics & Data Analysis. Apr2024, Vol. 192, pN.PAG-N.PAG. 1p.
Publication Year :
2024

Abstract

This paper investigates the efficient solution of penalized quadratic regressions in high-dimensional settings. A novel and efficient algorithm for ridge-penalized quadratic regression is proposed, leveraging the matrix structures of the regression with interactions. Additionally, an alternating direction method of multipliers (ADMM) framework is developed for penalized quadratic regression with general penalties, including both single and hybrid penalty functions. The approach simplifies the calculations to basic matrix-based operations, making it appealing in terms of both memory storage and computational complexity for solving penalized quadratic regressions in high-dimensional settings. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
01679473
Volume :
192
Database :
Academic Search Index
Journal :
Computational Statistics & Data Analysis
Publication Type :
Periodical
Accession number :
174794810
Full Text :
https://doi.org/10.1016/j.csda.2023.107904