DISCOMAX: A Proximity-Preserving Distance Correlation Maximization Algorithm
Abstract
In a regression setting we propose algorithms that reduce the dimensionality of the features while simultaneously maximizing a statistical measure of dependence known as distance correlation between the low-dimensional features and a response variable. This helps in solving the prediction problem with a low-dimensional set of features. Our setting is different from subset-selection algorithms where the problem is to choose the best subset of features for regression. Instead, we attempt to generate a new set of low-dimensional features as in a feature-learning setting. We attempt to keep our proposed approach as model-free and our algorithm does not assume the application of any specific regression model in conjunction with the low-dimensional features that it learns. The algorithm is iterative and is fomulated as a combination of the majorization-minimization and concave-convex optimization procedures. We also present spectral radius based convergence results for the proposed iterations.
Cite
@article{arxiv.1306.2533,
title = {DISCOMAX: A Proximity-Preserving Distance Correlation Maximization Algorithm},
author = {Praneeth Vepakomma and Ahmed Elgammal},
journal= {arXiv preprint arXiv:1306.2533},
year = {2017}
}
Comments
Withdrawing as an updated and enhanced version of this paper is on arxiv under my name as well titled Supervised Dimensionality Reduction via Distance Correlation Maximization. See arXiv:1601.00236. That makes this version pointless