Lasso with Latents: Efficient Estimation, Covariate Rescaling, and Computational-Statistical Gaps
<|reference_start|>Lasso with Latents: Efficient Estimation, Covariate Rescaling, and Computational-Statistical Gaps: It is well-known that the statistical performance of Lasso can suffer significantly when the covariates of interest have strong correlations. In particular, the prediction error of Lasso becomes much worse than computationally inefficient alternatives like Best Subset Selection. Due to a large conjectured computational-statistical tradeoff in the problem of sparse linear regression, it may be impossible to close this gap in general.   In this work, we propose a natural sparse linear regression setting where strong correlations between covariates arise from unobserved latent variables. In this setting, we analyze the problem caused by strong correlations and design a surprisingly simple fix. While Lasso with standard normalization of covariates fails, there exists a heterogeneous scaling of the covariates with which Lasso will suddenly obtain strong provable guarantees for estimation. Moreover, we design a simple, efficient procedure for computing such a "smart scaling."   The sample complexity of the resulting "rescaled Lasso" algorithm incurs (in the worst case) quadratic dependence on the sparsity of the underlying signal. While this dependence is not information-theoretically necessary, we give evidence that it is optimal among the class of polynomial-time algorithms, via the method of low-degree polynomials. This argument reveals a new connection between sparse linear regression and a special version of sparse PCA with a near-critical negative spike. The latter problem can be thought of as a real-valued analogue of learning a sparse parity. Using it, we also establish the first computational-statistical gap for the closely related problem of learning a Gaussian Graphical Model.<|reference_end|>
@article{kelner2024lasso,
    title={Lasso with Latents: Efficient Estimation, Covariate Rescaling, and
  Computational-Statistical Gaps},
    author={Jonathan Kelner, Frederic Koehler, Raghu Meka, Dhruv Rohatgi},
    journal={arXiv preprint arXiv:2402.15409},
    year={2024},
    archivePrefix={arXiv},
    eprint={2402.15409},
    primaryClass={stat.ML cs.CC cs.DS cs.LG math.ST stat.TH}
}