[Ml-stat-talks] Talk of interest TODAY: Rob Freund, MIT - 4:30 PM, Sherrerd 101

Amir Ali Ahmadi a_a_a at princeton.edu
Tue Apr 19 00:07:39 EDT 2016

=== ORFE Colloquium Announcement ===

DATE:   Tuesday, April 19, 2016

TIME:   4:30pm

LOCATION:   Sherrerd Hall, room 101

SPEAKER:  Robert Freund, MIT

TITLE:   A New Perspective on Boosting in Linear Regression via
Subgradient Optimization and Relatives

ABSTRACT:   We analyze boosting algorithms in linear regression from the
perspective modern first-order methods in convex optimization. We show
that classic boosting algorithms in linear regression, namely the
incremental forward stagewise algorithm (FSe) and least squares boosting
(LS-Boost-e), can be viewed as subgradient descent to minimize the
maximum absolute correlation between features and residuals. We also
propose a modification of FSe that yields an algorithm for the LASSO,
and that computes the LASSO path. We derive novel comprehensive
computational guarantees for all of these boosting algorithms, which
provide, for the first time, a precise theoretical description of the
amount of data-fidelity and regularization imparted by running a
boosting algorithm with a pre-specified learning rate for a fixed but
arbitrary number of iterations, for any dataset.
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