CSpace  > 系统科学研究所
Orthogonalizing EM: A Design-Based Least Squares Algorithm
Xiong, Shifeng1; Dai, Bin2; Huling, Jared3; Qian, Peter Z. G.3
Source PublicationTECHNOMETRICS
AbstractWe introduce an efficient iterative algorithm, intended for various least squares problems, based on a design of experiments perspective. The algorithm, called orthogonalizing EM (OEM), works for ordinary least squares (OLS) and can be easily extended to penalized least squares. The main idea of the procedure is to orthogonalize a design matrix by adding new rows and then solve the original problem by embedding the augmented design in a missing data framework. We establish several attractive theoretical properties concerning OEM. For the OLS with a singular regression matrix, an OEM sequence converges to the Moore-Penrose generalized inverse-based least squares estimator. For ordinary and penalized least squares with various penalties, it converges to a point having grouping coherence for fully aliased regression matrices. Convergence and the convergence rate of the algorithm are examined. Finally, we demonstrate that OEM is highly efficient for large-scale least squares and penalized least squares problems, and is considerably faster than competing methods when n is much larger than p. Supplementary materials for this article are available online.
KeywordComputational statistics Design of experiments Missing data Orthogonal design SCAD The Lasso
Funding ProjectNational Natural Science Foundation of China[11271355] ; National Natural Science Foundation of China[11471172]
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000381014100002
Citation statistics
Cited Times:3[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Affiliation1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.Tower Res Capital, 377 Broadway, New York, NY 10013 USA
3.Univ Wisconsin, Dept Stat, Madison, WI 53706 USA
Recommended Citation
GB/T 7714
Xiong, Shifeng,Dai, Bin,Huling, Jared,et al. Orthogonalizing EM: A Design-Based Least Squares Algorithm[J]. TECHNOMETRICS,2016,58(3):285-293.
APA Xiong, Shifeng,Dai, Bin,Huling, Jared,&Qian, Peter Z. G..(2016).Orthogonalizing EM: A Design-Based Least Squares Algorithm.TECHNOMETRICS,58(3),285-293.
MLA Xiong, Shifeng,et al."Orthogonalizing EM: A Design-Based Least Squares Algorithm".TECHNOMETRICS 58.3(2016):285-293.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Xiong, Shifeng]'s Articles
[Dai, Bin]'s Articles
[Huling, Jared]'s Articles
Baidu academic
Similar articles in Baidu academic
[Xiong, Shifeng]'s Articles
[Dai, Bin]'s Articles
[Huling, Jared]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Xiong, Shifeng]'s Articles
[Dai, Bin]'s Articles
[Huling, Jared]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.