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A Comparison of Hamming Errors of Representative Variable Selection Methods

ICLR 2022 · Learning theory and algorithms › Matrix and tensor methods · approach: High-dimensional estimation theory · 0 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Add coordinate-wise hard thresholding after Lasso (ablation)Lasso · Block-diagonal and general designsexpected Hamming error: 35.62 (5.09) -> 15.62 (4.06); 47.15 (6.32) -> 22.02 (5.31); 21.14 (4.52) -> 15.90 (3.87)Helped
Add coordinate-wise hard thresholding after Lasso (ablation)Lasso · Random design, p>nexpected Hamming error: 16.02 (5.52) -> 9.83 (4.08); 18.49 (6.03) -> 10.50 (4.23)Helped
Replace the L1 penalty with SCADLasso · Block-diagonal design with negative correlationupper phase curve for exact recoveryHelped
Replace the L1 penalty with SCADLasso · Block-diagonal design with nonnegative correlationupper phase curve for exact recoveryNo clear effect
Add an L2 penalty to the L1 objectiveLasso · Block-wise diagonal designupper phase curve for exact recoveryHurt
Add a backward thresholding step after forward selection (ablation)Forward selection · Block-wise diagonal designupper phase curve for exact recoveryHelped
Add a backward thresholding step after forward selection (ablation)Forward selection · Toeplitz designexpected Hamming error: 30.77 (6.18) -> 22.93 (5.44)Helped
Add a backward thresholding step after forward selection (ablation)Forward selection · Factor model designexpected Hamming error: 20.04 (4.34) -> 16.13 (3.76)Helped
Add a backward thresholding step after forward selection (ablation)Forward selection · Random design, p>nexpected Hamming error: 11.74 (5.55) -> 9.84 (4.93); 12.00 (5.67) -> 10.41 (5.03)Helped
Use thresholded Lasso instead of SCADSCAD · Block-diagonal design with negative correlationexpected Hamming error: 25.87 (5.04) -> 15.62 (4.06)Helped
Use thresholded Lasso instead of Elastic netElastic net · Toeplitz designexpected Hamming error: 47.40 (6.41) -> 22.02 (5.31)Helped
Tune both the Lasso penalty and the post-Lasso threshold (ablation)Lasso · Block-wise diagonal designexpected Hamming errorHelped

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