l1 regularized multiplicative iterative path algorithm for non-negative generalized linear models

B.N. Mandal and Jun Ma

Computational Statistics & Data Analysis, 2016, vol. 101, issue C, 289-299

Abstract: In regression modeling, often a restriction that regression coefficients are non-negative is faced. The problem of model selection in non-negative generalized linear models (NNGLM) is considered using lasso, where regression coefficients in the linear predictor are subject to non-negative constraints. Thus, non-negatively constrained regression coefficient estimation is sought by maximizing the penalized likelihood (such as the l1-norm penalty). An efficient regularization path algorithm is proposed for generalized linear models with non-negative regression coefficients. The algorithm uses multiplicative updates which are fast and simultaneous. Asymptotic results are also developed for the constrained penalized likelihood estimates. Performance of the proposed algorithm is shown in terms of computational time, accuracy of solutions and accuracy of asymptotic standard deviations.

Keywords: Generalized linear models; Lasso; Elastic net; l1-norm penalty; Regularization path; Non-negativity constraints (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:101:y:2016:i:c:p:289-299

DOI: 10.1016/j.csda.2016.03.009

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