Lasso and Group Lasso for logistic regression model
Résumé : We consider the problem of estimating a function in logistic regression model. We propose to estimate this function by a sparse approximation build as a linear combination of elements of a given dictionary of functions. This sparse approximation is selected by the Lasso or Group Lasso procedure. In this context, we state non asymptotic oracle inequalities for Lasso and Group Lasso under restricted eigenvalues assumption as introduced in Bickel et al. (2009). Those theoretical results are illustrated through a simulation study.
Cet exposé se tiendra en salle C20-13, 20ème étage, Université Paris 1, Centre Pierre Mendès-France, 90 rue de Tolbiac, 75013 Paris (métro : Olympiades).