Split Modeling for High-Dimensional Logistic Regression
- URL: http://arxiv.org/abs/2102.08591v1
- Date: Wed, 17 Feb 2021 05:57:26 GMT
- Title: Split Modeling for High-Dimensional Logistic Regression
- Authors: Anthony-Alexander Christidis, Stefan Van Aelst, Ruben Zamar
- Abstract summary: A novel method is proposed to an ensemble logistic classification model briefly compiled.
Our method learns how to exploit the bias-off resulting in excellent prediction accuracy.
An open-source software library implementing the proposed method is discussed.
- Score: 0.2676349883103404
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: A novel method is proposed to learn an ensemble of logistic classification
models in the context of high-dimensional binary classification. The models in
the ensemble are built simultaneously by optimizing a multi-convex objective
function. To enforce diversity between the models the objective function
penalizes overlap between the models in the ensemble. We study the bias and
variance of the individual models as well as their correlation and discuss how
our method learns the ensemble by exploiting the accuracy-diversity trade-off
for ensemble models. In contrast to other ensembling approaches, the resulting
ensemble model is fully interpretable as a logistic regression model and at the
same time yields excellent prediction accuracy as demonstrated in an extensive
simulation study and gene expression data applications. An open-source compiled
software library implementing the proposed method is briefly discussed.
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