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Elastic net orthogonal forward regression

Hong, X. and Chen, S. (2015) Elastic net orthogonal forward regression. Neurocomputing, 148. pp. 551-560. ISSN 0925-2312

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To link to this item DOI: 10.1016/j.neucom.2014.07.008


An efficient two-level model identification method aiming at maximising a model׳s generalisation capability is proposed for a large class of linear-in-the-parameters models from the observational data. A new elastic net orthogonal forward regression (ENOFR) algorithm is employed at the lower level to carry out simultaneous model selection and elastic net parameter estimation. The two regularisation parameters in the elastic net are optimised using a particle swarm optimisation (PSO) algorithm at the upper level by minimising the leave one out (LOO) mean square error (LOOMSE). There are two elements of original contributions. Firstly an elastic net cost function is defined and applied based on orthogonal decomposition, which facilitates the automatic model structure selection process with no need of using a predetermined error tolerance to terminate the forward selection process. Secondly it is shown that the LOOMSE based on the resultant ENOFR models can be analytically computed without actually splitting the data set, and the associate computation cost is small due to the ENOFR procedure. Consequently a fully automated procedure is achieved without resort to any other validation data set for iterative model evaluation. Illustrative examples are included to demonstrate the effectiveness of the new approaches.

Item Type:Article
Divisions:Science > School of Mathematical, Physical and Computational Sciences > Department of Computer Science
ID Code:37214
Uncontrolled Keywords:Elastic net; Forward regression; Linear-in-the-parameters model; Regularisation; Leave one out errors; Cross validation

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