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Adaptive penalization in high-dimensional regression and classification with external covariates using variational Bayes.

ABSTRACT: Penalization schemes like Lasso or ridge regression are routinely used to regress a response of interest on a high-dimensional set of potential predictors. Despite being decisive, the question of the relative strength of penalization is often glossed over and only implicitly determined by the scale of individual predictors. At the same time, additional information on the predictors is available in many applications but left unused. Here, we propose to make use of such external covariates to adapt the penalization in a data-driven manner. We present a method that differentially penalizes feature groups defined by the covariates and adapts the relative strength of penalization to the information content of each group. Using techniques from the Bayesian tool-set our procedure combines shrinkage with feature selection and provides a scalable optimization scheme. We demonstrate in simulations that the method accurately recovers the true effect sizes and sparsity patterns per feature group. Furthermore, it leads to an improved prediction performance in situations where the groups have strong differences in dynamic range. In applications to data from high-throughput biology, the method enables re-weighting the importance of feature groups from different assays. Overall, using available covariates extends the range of applications of penalized regression, improves model interpretability and can improve prediction performance.

SUBMITTER: Velten B

PROVIDER: S-EPMC8036004 | biostudies-literature |

REPOSITORIES: biostudies-literature

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Project description:BackgroundClassification and variable selection play an important role in knowledge discovery in high-dimensional data. Although Support Vector Machine (SVM) algorithms are among the most powerful classification and prediction methods with a wide range of scientific applications, the SVM does not include automatic feature selection and therefore a number of feature selection procedures have been developed. Regularisation approaches extend SVM to a feature selection method in a flexible way using penalty functions like LASSO, SCAD and Elastic Net.We propose a novel penalty function for SVM classification tasks, Elastic SCAD, a combination of SCAD and ridge penalties which overcomes the limitations of each penalty alone.Since SVM models are extremely sensitive to the choice of tuning parameters, we adopted an interval search algorithm, which in comparison to a fixed grid search finds rapidly and more precisely a global optimal solution.ResultsFeature selection methods with combined penalties (Elastic Net and Elastic SCAD SVMs) are more robust to a change of the model complexity than methods using single penalties. Our simulation study showed that Elastic SCAD SVM outperformed LASSO (L1) and SCAD SVMs. Moreover, Elastic SCAD SVM provided sparser classifiers in terms of median number of features selected than Elastic Net SVM and often better predicted than Elastic Net in terms of misclassification error.Finally, we applied the penalization methods described above on four publicly available breast cancer data sets. Elastic SCAD SVM was the only method providing robust classifiers in sparse and non-sparse situations.ConclusionsThe proposed Elastic SCAD SVM algorithm provides the advantages of the SCAD penalty and at the same time avoids sparsity limitations for non-sparse data. We were first to demonstrate that the integration of the interval search algorithm and penalized SVM classification techniques provides fast solutions on the optimization of tuning parameters.The penalized SVM classification algorithms as well as fixed grid and interval search for finding appropriate tuning parameters were implemented in our freely available R package 'penalizedSVM'.We conclude that the Elastic SCAD SVM is a flexible and robust tool for classification and feature selection tasks for high-dimensional data such as microarray data sets.

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Adaptive penalization in high-dimensional regression and classification with external covariates using variational Bayes.

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