On an improvement of LASSO by scaling

TL;DR

This paper proposes a simple scaling method to improve LASSO's bias issue, enabling better sparse model selection using SURE without extra hyperparameters, verified through numerical experiments.

Contribution

Introduces a scaling approach to reduce LASSO bias, compatible with existing estimators, and derives SURE for improved model selection.

Findings

Scaling improves LASSO estimator accuracy.

SURE-based model selection becomes more stable.

Numerical example confirms effectiveness of the method.

Abstract

A sparse modeling is a major topic in machine learning and statistics. LASSO (Least Absolute Shrinkage and Selection Operator) is a popular sparse modeling method while it has been known to yield unexpected large bias especially at a sparse representation. There have been several studies for improving this problem such as the introduction of non-convex regularization terms. The important point is that this bias problem directly affects model selection in applications since a sparse representation cannot be selected by a prediction error based model selection even if it is a good representation. In this article, we considered to improve this problem by introducing a scaling that expands LASSO estimator to compensate excessive shrinkage, thus a large bias in LASSO estimator. We here gave an empirical value for the amount of scaling. There are two advantages of this scaling method as follows. Since the proposed scaling value is calculated by using LASSO estimator, we only need LASSO estimator that is obtained by a fast and stable optimization procedure such as LARS (Least Angle Regression) under LASSO modification or coordinate descent. And, the simplicity of our scaling method enables us to derive SURE (Stein's Unbiased Risk Estimate) under the modified LASSO estimator with scaling. Our scaling method together with model selection based on SURE is fully empirical and do not need additional hyper-parameters. In a simple numerical example, we verified that our scaling method actually improves LASSO and the SURE based model selection criterion can stably choose an appropriate sparse model.