LASSO regularization within the LocalGLMnet architecture

Ronald Richman () and Mario V. Wüthrich ()
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Ronald Richman: University of the Witwatersrand
Mario V. Wüthrich: ETH Zurich

Advances in Data Analysis and Classification, 2023, vol. 17, issue 4, No 6, 981 pages

Abstract: Abstract Deep learning models have been very successful in the application of machine learning methods, often out-performing classical statistical models such as linear regression models or generalized linear models. On the other hand, deep learning models are often criticized for not being explainable nor allowing for variable selection. There are two different ways of dealing with this problem, either we use post-hoc model interpretability methods or we design specific deep learning architectures that allow for an easier interpretation and explanation. This paper builds on our previous work on the LocalGLMnet architecture that gives an interpretable deep learning architecture. In the present paper, we show how group LASSO regularization (and other regularization schemes) can be implemented within the LocalGLMnet architecture so that we receive feature sparsity for variable selection. We benchmark our approach with the recently developed LassoNet of Lemhadri et al. ( LassoNet: a neural network with feature sparsity. J Mach Learn Res 22:1–29, 2021).

Keywords: Deep learning; Neural networks; LocalGLMnet; Regression model; Variable selection; Regularization; LASSO; Group LASSO; Ridge regularization; Tikhonov regularization; 62-07; 62H99; 62G08; 62J07; 68T07 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s11634-022-00529-z

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