Simulated Data for Linear Regression with Structured and Sparse Penalties: Introducing pylearn-simulate

摘要

A currently very active field of research is how to incorporate structure and prior knowledge in machine learning methods. It has lead to numerous developments in the field of non-smooth convex minimization. With recently developed methods it is possible to perform an analysis in which the computed model can be linked to a given structure of the data and simultaneously do variable selection to find a few important features in the data. However, there is still no way to unambiguously simulate data to test proposed algorithms, since the exact solutions to such problems are unknown. The main aim of this paper is to present a theoretical framework for generating simulated data. These simulated data are appropriate when comparing optimization algorithms in the context of linear regression problems with sparse and structured penalties. Additionally, this approach allows the user to control the signal-to-noise ratio, the correlation structure of the data and the optimization problem to which they are the solution. The traditional approach is to simulate random data without taking into account the actual model that will be fit to the data. But when using such an approach it is not possible to know the exact solution of the underlying optimization problem. With our contribution, it is possible to know the exact theoretical solution of a penalized linear regression problem, and it is thus possible to compare algorithms without the need to use, e.g., cross-validation. We also present our implementation, the Python package pylearn-simulate, available at https://github.comeurospin/pylearn-simulate and released under the BSD 3clause license. We describe the package and give examples at the end of the paper.