Transfer Learning under High-dimensional Generalized Linear Models
- URL: http://arxiv.org/abs/2105.14328v1
- Date: Sat, 29 May 2021 15:39:43 GMT
- Title: Transfer Learning under High-dimensional Generalized Linear Models
- Authors: Ye Tian and Yang Feng
- Abstract summary: We study the transfer learning problem under high-dimensional generalized linear models.
We propose an oracle algorithm and derive its $ell$-estimation error bounds.
When we don't know which sources to transfer, an algorithm-free transferable source detection approach is introduced.
- Score: 7.675822266933702
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: In this work, we study the transfer learning problem under high-dimensional
generalized linear models (GLMs), which aim to improve the fit on target data
by borrowing information from useful source data. Given which sources to
transfer, we propose an oracle algorithm and derive its $\ell_2$-estimation
error bounds. The theoretical analysis shows that under certain conditions,
when the target and source are sufficiently close to each other, the estimation
error bound could be improved over that of the classical penalized estimator
using only target data. When we don't know which sources to transfer, an
algorithm-free transferable source detection approach is introduced to detect
informative sources. The detection consistency is proved under the
high-dimensional GLM transfer learning setting. Extensive simulations and a
real-data experiment verify the effectiveness of our algorithms.
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