Papers › Early stopping for L²-boosting in high-dimensional linear models
Early stopping for L²-boosting in high-dimensional linear models
Bernhard Stankewitz
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Increasingly high-dimensional data sets require that estimation methods do not only satisfy statistical guarantees but also remain computationally feasible. In this context, we consider L²-boosting via orthogonal matching pursuit in a high-dimensional linear model and analyze a data-driven early stopping time τ of the algorithm, which is sequential in the sense that its computation is based on the first τ iterations only. This approach is much less costly than established model selection criteria, that require the computation of the full boosting path. We prove that sequential early stopping preserves statistical optimality in this setting in terms of a fully general oracle inequality for the empirical risk and recently established optimal convergence rates for the population risk. Finally, an extensive simulation study shows that at an immensely reduced computational cost, the performance of these type of methods is on par with other state of the art algorithms such as the cross-validated Lasso or model selection via a high dimensional Akaike criterion based on the full boosting path.
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