It is well known that popular optimization techniques can lead to overfitting or even a lack of convergence altogether; thus, practitioners often utilize ad hoc regularization terms added to the energy functional. When carefully crafted, these regularizations can produce compelling results. However, regularization changes both the energy landscape and the solution to the optimization problem, which can result in underfitting. Surprisingly, many practitioners both add regularization and claim that their model lacks the expressivity to fit the data. Motivated by a geometric interpretation of the linearized search space, we propose an approach that ameliorates overfitting without the need for regularization terms that restrict the expressiveness of the underlying model. We illustrate the efficacy of our approach on minimization problems related to three-dimensional facial expression estimation where overfitting clouds semantic understanding and regularization may lead to underfitting that misses or misinterprets subtle expressions.
Although coordinate descent algorithms can avoid the null space, they may still choose poorly correlated coordinates potentially resulting in many poorly correlated coordinates in place of fewer more strongly correlated coordinates. Using correlation to choose the next coordinate to add to the model can alleviate this problem and is the central idea behind MBI @cite_9 , forward and backward stepwise regression @cite_20 , and least angle regression (LARS) @cite_35 . The latter statistical regression methods are often used to gain better prediction accuracy and interpretability of the model @cite_11 . However, LARS converges to the least squares solution @cite_35 which often means eventually using uncorrelated coordinates.
@cite_35 @cite_9 @cite_20 @cite_11
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The purpose of model selection algorithms such as All Subsets, Forward Selection and Backward Elimination is to choose a linear model on the basis of the same set of data to which the model will be applied. Typically we have available a large collection of possible covariates from which we hope to select a parsimonious set for the efficient prediction of a response variable. Least Angle Regression (LARS), a new model selection algorithm, is a useful and less greedy version of traditional forward selection methods. Three main properties are derived: (1) A simple modification of the LARS algorithm implements the Lasso, an attractive version of ordinary least squares that constrains the sum of the absolute regression coefficients; the LARS modification calculates all possible Lasso estimates for a given problem, using an order of magnitude less computer time than previous methods. (2) A different LARS modification efficiently implements Forward Stagewise linear regression, another promising new model selection method; this connection explains the similar numerical results previously observed for the Lasso and Stagewise, and helps us understand the properties of both methods, which are seen as constrained versions of the simpler LARS algorithm. (3) A simple approximation for the degrees of freedom of a LARS estimate is available, from which we derive a Cp estimate of prediction error; this allows a principled choice among the range of possible LARS estimates. LARS and its variants are computationally efficient: the paper describes a publicly available algorithm that requires only the same order of magnitude of computational effort as ordinary least squares applied to the full set of covariates. In this paper we propose an efficient method for solving the spherically constrained homogeneous polynomial optimization problem. The new approach has the following three main ingredients. First, we establish a block coordinate descent type search method for nonlinear optimization, with the novelty being that we accept only a block update that achieves the maximum improvement, hence the name of our new search method: maximum block improvement (MBI). Convergence of the sequence produced by the MBI method to a stationary point is proved. Second, we establish that maximizing a homogeneous polynomial over a sphere is equivalent to its tensor relaxation problem; thus we can maximize a homogeneous polynomial function over a sphere by its tensor relaxation via the MBI approach. Third, we propose a scheme to reach a KKT point of the polynomial optimization, provided that a stationary solution for the relaxed tensor problem is available. Numerical experiments have shown that our new method works very efficiently: for a majority of the test instances that we have experimented with, the method finds the global optimal solution at a low computational cost. The use of automated subset search algorithms is reviewed and issues concerning model selection and selection criteria are discussed. In addition, a Monte Carlo study is reported which presents data regarding the frequency with which authentic and noise variables are selected by automated subset algorithms. In particular, the effects of the correlation between predictor variables, the number of candidate predictor variables, the size of the sample, and the level of significance for entry and deletion of variables were studied for three automated subset algorithms: BACKWARD ELIMINATION, FORWARD SELECTION, and STEPWISE. Results indicated that: (1) the degree of correlation between the predictor variables affected the frequency with which authentic predictor variables found their way into the final model; (2) the number of candidate predictor variables affected the number of noise variables that gained entry to the model; (3) the size of the sample was of little practical importance in determining the number of authentic variables contained in the final model; and (4) the population multiple coefficient of determination could be faithfully estimated by adopting a statistic that is adjusted by the total number of candidate predictor variables rather than the number of variables in the final model.