A Difference of Convex Functions Algorithm for Switched Linear Regression
Identifieur interne : 000D86 ( Hal/Checkpoint ); précédent : 000D85; suivant : 000D87A Difference of Convex Functions Algorithm for Switched Linear Regression
Auteurs : Tao Pham Dinh [France] ; Hoai Minh Le [France] ; Hoai An Le Thi [France] ; Fabien Lauer [France]Source :
- IEEE Transactions on Automatic Control [ 0018-9286 ] ; 2014.
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Abstract
This paper deals with switched linear system identification and more particularly aims at solving switched linear regression problems in a large-scale setting with both numerous data and many parameters to learn. We consider the recent minimum-of-error framework with a quadratic loss function, in which an objective function based on a sum of minimum errors with respect to multiple submodels is to be minimized. The paper proposes a new approach to the optimization of this nonsmooth and nonconvex objective function, which relies on Difference of Convex (DC) functions programming. In particular, we formulate a proper DC decomposition of the objective function, which allows us to derive a computationally efficient DC algorithm. Numerical experiments show that the method can efficiently and accurately learn switching models in large dimensions and from many data points.
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DOI: 10.1109/TAC.2014.2301575
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<front><div type="abstract" xml:lang="en">This paper deals with switched linear system identification and more particularly aims at solving switched linear regression problems in a large-scale setting with both numerous data and many parameters to learn. We consider the recent minimum-of-error framework with a quadratic loss function, in which an objective function based on a sum of minimum errors with respect to multiple submodels is to be minimized. The paper proposes a new approach to the optimization of this nonsmooth and nonconvex objective function, which relies on Difference of Convex (DC) functions programming. In particular, we formulate a proper DC decomposition of the objective function, which allows us to derive a computationally efficient DC algorithm. Numerical experiments show that the method can efficiently and accurately learn switching models in large dimensions and from many data points.</div>
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<sourceDesc><biblStruct><analytic><title xml:lang="en">A Difference of Convex Functions Algorithm for Switched Linear Regression</title>
<author role="aut"><persName><forename type="first">Tao</forename>
<surname>Pham Dinh</surname>
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<idno type="halAuthorId">310301</idno>
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<author role="aut"><persName><forename type="first">Hoai Minh</forename>
<surname>Le</surname>
</persName>
<idno type="halAuthorId">970693</idno>
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</author>
<author role="aut"><persName><forename type="first">Hoai An</forename>
<surname>Le Thi</surname>
</persName>
<idno type="halAuthorId">970694</idno>
<affiliation ref="#struct-402694"></affiliation>
</author>
<author role="aut"><persName><forename type="first">Fabien</forename>
<surname>Lauer</surname>
</persName>
<email>fabien.lauer@loria.fr</email>
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<idno type="idHal">fabien-lauer</idno>
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<monogr><idno type="halJournalId" status="VALID">5358</idno>
<idno type="issn">0018-9286</idno>
<title level="j">IEEE Transactions on Automatic Control</title>
<imprint><publisher>Institute of Electrical and Electronics Engineers</publisher>
<biblScope unit="pp">to appear</biblScope>
<date type="datePub">2014</date>
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<idno type="doi">10.1109/TAC.2014.2301575</idno>
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<profileDesc><langUsage><language ident="en">English</language>
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<textClass><keywords scheme="author"><term xml:lang="en">Switched linear systems</term>
<term xml:lang="en">Piecewise affine systems</term>
<term xml:lang="en">System identification</term>
<term xml:lang="en">Switched regression</term>
<term xml:lang="en">Nonconvex optimization</term>
<term xml:lang="en">Nonsmooth optimization</term>
<term xml:lang="en">DC programming</term>
<term xml:lang="en">DCA</term>
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<classCode scheme="halDomain" n="info.info-lg">Computer Science [cs]/Machine Learning [cs.LG]</classCode>
<classCode scheme="halDomain" n="math.math-oc">Mathematics [math]/Optimization and Control [math.OC]</classCode>
<classCode scheme="halDomain" n="spi.auto">Engineering Sciences [physics]/Automatic</classCode>
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<abstract xml:lang="en">This paper deals with switched linear system identification and more particularly aims at solving switched linear regression problems in a large-scale setting with both numerous data and many parameters to learn. We consider the recent minimum-of-error framework with a quadratic loss function, in which an objective function based on a sum of minimum errors with respect to multiple submodels is to be minimized. The paper proposes a new approach to the optimization of this nonsmooth and nonconvex objective function, which relies on Difference of Convex (DC) functions programming. In particular, we formulate a proper DC decomposition of the objective function, which allows us to derive a computationally efficient DC algorithm. Numerical experiments show that the method can efficiently and accurately learn switching models in large dimensions and from many data points.</abstract>
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