Séminaire – Petit déjeuner – “Binarsity: a penalization for one-hot encoded features in linear supervised learning” par Stéphane GAIFFAS, Ecole Polytechnique

Date / Heure
Date(s) - 11/06/2019
9 h 00 - 10 h 30

Auditorium Gilles Glicenstein

This paper deals with the problem of large-scale linear supervised learning in settings where a large number of continuous features are available. We propose to combine the well-known trick of one-hot encoding of continuous features with a new penalization called binarsity. In each group of binary features coming from the one-hot encoding of a single raw continuous feature, this penalization uses totalvariation regularization together with an extra linear constraint. This induces two interesting properties on the model weights of the one-hot encoded features: they are piecewise constant, and are eventually block sparse. Non-asymptotic oracle inequalities for generalized linear models are proposed. Moreover, under a sparse additive model assumption, we prove that our procedure matches the state-of-the-art in this setting. Numerical experiments illustrate the good performances of our approach on several datasets. It is also noteworthy that our method has a numerical complexity comparable to standard `1 penalization.

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Filed under: Séminaires trimestriels