The goal of this paper is to estimate sparse linear regression models, where for a given partition \mathcalG of input variables, the selected variables are chosen from a \it diverse set of groups in \mathcalG. We consider a novel class of nonconvex constraint functions, and develop RepLasso, a greedy homotopy method that exploits geometrical properties of the constraint functions to build a sequence of suitably adapted convex surrogate problems. We prove that in some situations RepLasso recovers the global minima path of the nonconvex problem. Moreover, even if it does not recover the global minima, we prove that it will often do no worse than the Lasso in terms of (signed) support recovery, while in practice outperforming it. We show empirically that the strategy can also be used to improve over various other Lasso-style algorithms. Finally, a GWAS of ankylosing spondylitis highlights our method’s practical utility.

The ranking of n objects based on pairwise comparisons is a core machine learning problem, arising in recommender systems, ad placement, player ranking, biological applications and others. In many practical situations the true pairwise comparisons cannot be actively measured, but a subset of all n(n-1)/2 comparisons is passively and noisily observed. Optimization algorithms (e.g., the SVM) could be used to predict a ranking with fixed expected Kendall tau distance, while achieving an Ω(n) lower bound on the corresponding sample complexity. However, due to their centralized structure they are difficult to extend to online or distributed settings. In this paper we show that much simpler algorithms can match the same Ω(n) lower bound in expectation. Furthermore, if an average of O(n\log(n)) binary comparisons are measured, then one algorithm recovers the true ranking in a uniform sense, while the other predicts the ranking more accurately near the top than the bottom. We discuss extensions to online and distributed ranking, with benefits over traditional alternatives.

The Lasso is a cornerstone of modern multivariate data analysis, yet its performance suffers in the common situation in which covariates are correlated. This limitation has led to a growing number of \emph{Preconditioned Lasso} algorithms that pre-multiply $X$ and $y$ by matrices $P_X$, $P_y$ prior to running the standard Lasso. A direct comparison of these and similar Lasso-style algorithms to the original Lasso is difficult because the performance of all of these methods depends critically on an auxiliary penalty parameter $\lambda$. In this paper we propose an agnostic, theoretical framework for comparing Preconditioned Lasso algorithms to the Lasso without having to choose $\lambda$. We apply our framework to three Preconditioned Lasso instances and highlight when they will outperform the Lasso. Additionally, our theory offers insights into the fragilities of these algorithms to which we provide partial solutions.

Spectral clustering is a widely used method for organizing data that only relies on pairwise similarity measurements. This makes its application to non-vectorial data straight-forward in principle, as long as all pairwise similarities are available. However, in recent years, numerous examples have emerged in which the cost of assessing similarities is substantial or prohibitive. We propose an active learning algorithm for spectral clustering that incrementally measures only those similarities that are most likely to remove uncertainty in an intermediate clustering solution. In many applications, similarities are not only costly to compute, but also noisy. We extend our algorithm to maintain running estimates of the true similarities, as well as estimates of their accuracy. Using this information, the algorithm updates only those estimates which are relatively inaccurate and whose update would most likely remove clustering uncertainty. We compare our methods on several datasets, including a realistic example where similarities are expensive and noisy. The results show a significant improvement in performance compared to the alternatives.

Biased labelers are a systemic problem in crowdsourcing, and a comprehensive toolbox for handling their responses is still being developed. A typical crowdsourcing application can be divided into three steps: data collection, data curation, and learning. At present these steps are often treated separately. We present Bayesian Bias Mitigation for Crowdsourcing (BBMC), a Bayesian model to unify all three. Most data curation methods account for the {\it effects} of labeler bias by modeling all labels as coming from a single latent truth. Our model captures the {\it sources} of bias by describing labelers as influenced by shared random effects. This approach can account for more complex bias patterns that arise in ambiguous or hard labeling tasks and allows us to merge data curation and learning into a single computation. Active learning integrates data collection with learning, but is commonly considered infeasible with Gibbs sampling inference. We propose a general approximation strategy for Markov chains to efficiently quantify the effect of a perturbation on the stationary distribution and specialize this approach to active learning. Experiments show BBMC to outperform many common heuristics.

Heavy-tailed distributions are often used to enhance the robustness of regression and classification methods to outliers in output space. Often, however, we are confronted with ``outliers'' in input space, which are isolated observations in sparsely populated regions. We show that heavy-tailed process priors (which we construct from Gaussian processes via a copula), can be used to improve robustness of regression and classification estimators to such outliers by selectively shrinking them more strongly in sparse regions than in dense regions. We carry out a theoretical analysis to show that selective shrinkage occurs provided the marginals of the heavy-tailed process have sufficiently heavy tails. The analysis is complemented by experiments on biological data which indicate significant improvements of estimates in sparse regions while producing competitive results in dense regions.