基于GPGN算法的泊松回归稀疏优化

Sparse Optimization for Poisson Regression Based on GPGN Algorithm

  • 摘要: 泊松回归模型作为广义线性回归模型之一,被广泛应用于计数型数据分析.随着计算机技术的迅速发展,获取和存储的变量越来越多,所建立模型越来越复杂.针对泊松回归模型的稀疏优化问题,本文考虑带有L0惩罚的泊松回归稀疏约束模型,应用二阶贪婪投影梯度牛顿(Greedy ProjectedGradient Newton简称GPGN)算法估计参数.通过在合成数据集进行模拟研究说明算法的有效性,并将泊松回归应用于基于WIFI信号预测楼层的建模分析,验证了GPGN算法在泊松回归稀疏约束优化问题中的优良表现.

     

    Abstract: Poisson regression model, as one of the generalized linear regression models, is widely used in counting data analysis. With the rapid development of computer technology, more and more variables are obtained and stored, resulting in increasingly complex models. In this paper, we consider the sparsity constrained Poisson regression model with L0 penalty, and apply the Greedy Projected Gradient Newton(GPGN) algorithm to estimate the parameters. The effectiveness of the algorithm is demonstrated through simulation research on the synthetic dataset, and Poisson regression is applied to the modeling analysis of the prediction floors based on WIFI signals. This verify the GPGN algorithm performs well in Poisson regression sparsity constrained optimization.

     

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