Generalized Linear Model Regression under Distance-to-set Penalties
Estimation in generalized linear models (GLM) is complicated by the presence of constraints. One can handle constraints by maximizing a penalized log-likelihood. Penalties such as the lasso are effective in high dimensions, but often lead to unwanted shrinkage. This paper explores instead penalizing the squared distance to constraint sets. Distance penalties are more flexible than algebraic and regularization penalties, and avoid the drawback of shrinkage. To optimize distance penalized objectives, we make use of the majorization-minimization principle. Resulting algorithms constructed within this framework are amenable to acceleration and come with global convergence guarantees. Applications to shape constraints, sparse regression, and rank-restricted matrix regression on synthetic and real data showcase strong empirical performance, even under non-convex constraints.
I found much to like about this paper. It was very clear and well-written, and the proposed method is elegant, intuitive, novel (to the best of my knowledge), seemingly well motivated, and widely applicable. In addition, the main ideas in the paper are well-supported by appropriate numerical and real data examples.
I would like to see the authors compare their method to two other methods that I would see as major competitors: first, the relaxed LASSO (Meinshausen 2007) wherein we fit the lasso and then do an unpenalized fit using only the variables that the lasso has selected. As I understand the field, this is the most popular method and the one that Hastie, Tibshirani, and Wainwright (2015) recommend for users who want to avoid the bias of the lasso (but note that the shrinkage “bias” is sometimes desirable to counteract the selection bias or “winner’s curse” that the selected coefficients may suffer from). Second, best-subsets itself is now feasible using modern mixed-integer optimization methods (Bertsimas, Kind, and Mazumder, 2016) (if one of these competitors outperforms your method, it would not make me reconsider my recommendation to accept, since the method you propose applies to a much more general class of problems).
Bertsimas, Dimitris, Angela King, and Rahul Mazumder. "Best subset selection via a modern optimization lens." The Annals of Statistics 44.2 (2016): 813-852.
Hastie, Trevor, Robert Tibshirani, and Martin Wainwright. Statistical learning with sparsity: the lasso and generalizations. CRC press, 2015.
Meinshausen, Nicolai. "Relaxed lasso." Computational Statistics & Data Analysis 52.1 (2007): 374-393.