Communication-efficient distributed estimation for high-dimensional large-scale linear regression

Zhan Liu, Xiaoluo Zhao and Yingli Pan ()
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Zhan Liu: Hubei University
Xiaoluo Zhao: Hubei University
Yingli Pan: Hubei University

Metrika: International Journal for Theoretical and Applied Statistics, 2023, vol. 86, issue 4, No 4, 455-485

Abstract: Abstract In the Master-Worker distributed structure, this paper provides a regularized gradient-enhanced loss (GEL) function based on the high-dimensional large-scale linear regression with SCAD and adaptive LASSO penalty. The importance and originality of this paper have two aspects: (1) Computationally, to take full advantage of the computing power of each machine and speed up the convergence, our proposed distributed upgraded estimation method can make all Workers optimize their corresponding GEL functions in parallel, and the results are then aggregated by the Master; (2) In terms of communication, the proposed modified proximal alternating direction method of the multipliers (ADMM) algorithm is comparable to the Centralize method based on the full sample during a few rounds of communication. Under some mild assumptions, we establish the Oracle properties of the SCAD and adaptive LASSO penalized linear regression. The finite sample properties of the newly suggested method are assessed through simulation studies. An application to the HIV drug susceptibility study demonstrates the utility of the proposed method in practice.

Keywords: Distributed optimization; SCAD; Adaptive LASSO; GEL function; Modified proximal ADMM algorithm (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s00184-022-00878-x

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