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Poster
Piecewise Linear Regression via a Difference of Convex Functions
Ali Siahkamari · Aditya Gangrade · Brian Kulis · Venkatesh Saligrama

Thu Jul 16 06:00 AM -- 06:45 AM & Thu Jul 16 05:00 PM -- 05:45 PM (PDT) @
in Poster Session 41 »
We present a new piecewise linear regression methodology that utilises fitting a \emph{difference of convex} functions (DC functions) to the data. These are functions $f$ that may be represented as the difference $\phi_1 - \phi_2$ for a choice of \emph{convex} functions $\phi_1, \phi_2$. The method proceeds by estimating piecewise-liner convex functions, in a manner similar to max-affine regression, whose difference approximates the data. The choice of the function is regularised by a new seminorm over the class of DC functions that controls the $\ell_\infty$ Lipschitz constant of the estimate. The resulting methodology can be efficiently implemented via Quadratic programming \emph{even in high dimensions}, and is shown to have close to minimax statistical risk. We empirically validate the method, showing it to be practically implementable, and to outperform existing regression methods in accuracy on real-world datasets.
Keywords: Learning Theory · Non-parametric Methods

Author Information

Ali Siahkamari (Boston University)
Aditya Gangrade (Boston University)
Brian Kulis (Boston University)
Venkatesh Saligrama (Boston University)

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