Convex Modeling of Interactions With Strong Heredity.

CONVEX functions; REGRESSION analysis; MATHEMATICAL optimization; MULTIPLIERS (Mathematical analysis); DEGREES of freedom

We consider the task of fitting a regression model involving interactions among a potentially large set of covariates, in which we wish to enforce strong heredity. We proposeFAMILY, a very general framework for this task. Our proposal is a generalization of several existing methods, such asVANISH,hierNet, the all-pairs lasso, and the lasso using only main effects. It can be formulated as the solution to a convex optimization problem, which we solve using an efficient alternating directions method of multipliers (ADMM) algorithm. This algorithm has guaranteed convergence to the global optimum, can be easily specialized to any convex penalty function of interest, and allows for a straightforward extension to the setting of generalized linear models. We derive an unbiased estimator of the degrees of freedom ofFAMILY, and explore its performance in a simulation study and on an HIV sequence dataset. Supplementary materials for this article are available online. [ABSTRACT FROM AUTHOR]

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