文章基本信息

标题：An adaptive shortest-solution guided decimation approach to sparse high-dimensional linear regression
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作者：Xue Yu ; Yifan Sun ; Hai-Jun Zhou 等
期刊名称：Scientific Reports
电子版ISSN：2045-2322
出版年度：2021
卷号：11
DOI：10.1038/s41598-021-03323-7
语种：English
出版社：Springer Nature
摘要：High-dimensional linear regression model is the most popular statistical model for high-dimensional data, but it is quite a challenging task to achieve a sparse set of regression coefficients. In this paper, we propose a simple heuristic algorithm to construct sparse high-dimensional linear regression models, which is adapted from the shortest-solution guided decimation algorithm and is referred to as ASSD. This algorithm constructs the support of regression coefficients under the guidance of the shortest least-squares solution of the recursively decimated linear models, and it applies an early-stopping criterion and a second-stage thresholding procedure to refine this support. Our extensive numerical results demonstrate that ASSD outperforms LASSO, adaptive LASSO, vector approximate message passing, and two other representative greedy algorithms in solution accuracy and robustness. ASSD is especially suitable for linear regression problems with highly correlated measurement matrices encountered in real-world applications.