{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/fanok-knockoffs-in-linear-time","title":"FANOK: Knockoffs in Linear Time","arxiv_id":"2006.08790","date":"2020-06-15","proceeding":null,"authors":["Armin Askari","Quentin Rebjock","Alexandre d'Aspremont","Laurent El Ghaoui"],"abstract":"We describe a series of algorithms that efficiently implement Gaussian model-X knockoffs to control the false discovery rate on large scale feature selection problems. Identifying the knockoff distribution requires solving a large scale semidefinite program for which we derive several efficient methods. One handles generic covariance matrices, has a complexity scaling as $O(p^3)$ where $p$ is the ambient dimension, while another assumes a rank $k$ factor model on the covariance matrix to reduce this complexity bound to $O(pk^2)$. We also derive efficient procedures to both estimate factor models and sample knockoff covariates with complexity linear in the dimension. We test our methods on problems with $p$ as large as $500,000$.","url_abs":"https://arxiv.org/abs/2006.08790v1","url_pdf":"https://arxiv.org/pdf/2006.08790v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"fanok-knockoffs-in-linear-time","repo_url":"https://github.com/qrebjock/fanok","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[{"task_slug":"feature-selection","task_name":"feature selection"}],"methods":[{"method_slug":"feature-selection","method_name":"Feature Selection"}],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}