IEOR - Designing a More Efficient World

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March 2021

03/15: Feng Ruan – Searching for Interactions in Linear Time

March 15 @ 3:30 pm - 4:30 pm
Zoom Webinar (Virtual)

Abstract: We tackle the problem of variable selection with a focus on discovering interactions between variables. With p variables, there are O(p^k) possible interactions of order k making exhaustive search infeasible. We show that it is nonetheless possible to identify the variables involved in interactions (of any order) with only linear computation cost, O(p), and in a nonparametric fashion. Our algorithm is based on minimizing a nonconvex objective, carefully designed to have a favorable landscape. We provide finite sample guarantees…

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