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LassoBench: A High-Dimensional Hyperparameter Optimization Benchmark Suite for Lasso

Nardi, Luigi LU ; Gramfort, Alexandre ; Salmon, Joseph and Sehic, Kenan LU orcid (2022) 1st International Conference on Automated Machine Learning (AutoML)
Abstract
While Weighted Lasso sparse regression has appealing statistical guarantees that would entail a major real-world impact in finance, genomics, and brain imaging applications, it is typically scarcely adopted due to its complex high-dimensional space composed by thousands of hyperparameters. On the other hand, the latest progress with high-dimensional hyperparameter optimization (HD-HPO) methods for black-box functions demonstrates that high-dimensional applications can indeed be efficiently optimized. Despite this initial success, HD-HPO approaches are mostly applied to synthetic problems with a moderate number of dimensions, which limits its impact in scientific and engineering applications. We propose LassoBench, the first benchmark suite... (More)
While Weighted Lasso sparse regression has appealing statistical guarantees that would entail a major real-world impact in finance, genomics, and brain imaging applications, it is typically scarcely adopted due to its complex high-dimensional space composed by thousands of hyperparameters. On the other hand, the latest progress with high-dimensional hyperparameter optimization (HD-HPO) methods for black-box functions demonstrates that high-dimensional applications can indeed be efficiently optimized. Despite this initial success, HD-HPO approaches are mostly applied to synthetic problems with a moderate number of dimensions, which limits its impact in scientific and engineering applications. We propose LassoBench, the first benchmark suite tailored for Weighted Lasso regression. LassoBench consists of benchmarks for both well-controlled synthetic setups (number of samples, noise level, ambient and effective dimensionalities, and multiple fidelities) and real-world datasets, which enables the use of many flavors of HPO algorithms to be studied and extended to the high-dimensional Lasso setting. We evaluate 6 state-of-the-art HPO methods and 3 Lasso baselines, and demonstrate that Bayesian optimization and evolutionary strategies can improve over the methods commonly used for sparse regression while highlighting limitations of these frameworks in very high-dimensional and noisy settings. (Less)
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type
Contribution to conference
publication status
published
subject
conference name
1st International Conference on Automated Machine Learning (AutoML)
conference location
Baltimore, United States
conference dates
2022-07-25 - 2022-07-27
language
English
LU publication?
yes
id
b474c9ce-5276-463b-ab4c-77879032020e
alternative location
https://openreview.net/forum?id=S4leJbTrLg5
date added to LUP
2022-09-16 17:53:13
date last changed
2022-10-13 14:07:55
@misc{b474c9ce-5276-463b-ab4c-77879032020e,
  abstract     = {{While Weighted Lasso sparse regression has appealing statistical guarantees that would entail a major real-world impact in finance, genomics, and brain imaging applications, it is typically scarcely adopted due to its complex high-dimensional space composed by thousands of hyperparameters. On the other hand, the latest progress with high-dimensional hyperparameter optimization (HD-HPO) methods for black-box functions demonstrates that high-dimensional applications can indeed be efficiently optimized. Despite this initial success, HD-HPO approaches are mostly applied to synthetic problems with a moderate number of dimensions, which limits its impact in scientific and engineering applications. We propose LassoBench, the first benchmark suite tailored for Weighted Lasso regression. LassoBench consists of benchmarks for both well-controlled synthetic setups (number of samples, noise level, ambient and effective dimensionalities, and multiple fidelities) and real-world datasets, which enables the use of many flavors of HPO algorithms to be studied and extended to the high-dimensional Lasso setting. We evaluate 6 state-of-the-art HPO methods and 3 Lasso baselines, and demonstrate that Bayesian optimization and evolutionary strategies can improve over the methods commonly used for sparse regression while highlighting limitations of these frameworks in very high-dimensional and noisy settings.}},
  author       = {{Nardi, Luigi and Gramfort, Alexandre and Salmon, Joseph and Sehic, Kenan}},
  language     = {{eng}},
  title        = {{LassoBench: A High-Dimensional Hyperparameter Optimization Benchmark Suite for Lasso}},
  url          = {{https://openreview.net/forum?id=S4leJbTrLg5}},
  year         = {{2022}},
}