Safe Screening for Logistic Regression with $\ell_0$-$\ell_2$ Regularization

• URL: http://arxiv.org/abs/2202.00467v1
• Date: Tue, 1 Feb 2022 15:25:54 GMT
• Title: Safe Screening for Logistic Regression with $\ell_0$-$\ell_2$ Regularization
• Authors: Anna Deza, Alper Atamturk
• Abstract summary: We present screening rules that safely remove features from logistic regression before solving the problem. A high percentage of the features can be effectively and safely removed apriori, leading to substantial speed-up in the computations.
• Score: 0.360692933501681
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: In logistic regression, it is often desirable to utilize regularization to promote sparse solutions, particularly for problems with a large number of features compared to available labels. In this paper, we present screening rules that safely remove features from logistic regression with $\ell_0-\ell_2$ regularization before solving the problem. The proposed safe screening rules are based on lower bounds from the Fenchel dual of strong conic relaxations of the logistic regression problem. Numerical experiments with real and synthetic data suggest that a high percentage of the features can be effectively and safely removed apriori, leading to substantial speed-up in the computations.

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