Approaches to Regularized Regression - A Comparison between Gradient Boosting and the Lasso

Hepp T, Schmid M, Gefeller O, Waldmann E, Mayr A (2016)

Publication Type: Journal article

Publication year: 2016

Journal

Book Volume: 55

Pages Range: 422-430

Journal Issue: 5

DOI: 10.3414/ME16-01-0033

Abstract

Penalization and regularization techniques for statistical modeling have attracted increasing attention in biomedical research due to their advantages in the presence of high-dimensional data. A special focus lies on algorithms that incorporate automatic variable selection like the least absolute shrinkage operator (lasso) or statistical boosting techniques.Focusing on the linear regression framework, this article compares the two most-common techniques for this task, the lasso and gradient boosting, both from a methodological and a practical perspective.We describe these methods highlighting under which circumstances their results will coincide in low-dimensional settings. In addition, we carry out extensive simulation studies comparing the performance in settings with more predictors than observations and investigate multiple combinations of noise-to-signal ratio and number of true non-zero coeffcients. Finally, we examine the impact of different tuning methods on the results.Both methods carry out penalization and variable selection for possibly highdimensional data, often resulting in very similar models. An advantage of the lasso is its faster run-time, a strength of the boosting concept is its modular nature, making it easy to extend to other regression settings.Although following different strategies with respect to optimization and regularization, both methods imply similar constraints to the estimation problem leading to a comparable performance regarding prediction accuracy and variable selection in practice.

Authors with CRIS profile

Involved external institutions

Rheinische Friedrich-Wilhelms-Universität Bonn Germany (DE)

How to cite

APA:

Hepp, T., Schmid, M., Gefeller, O., Waldmann, E., & Mayr, A. (2016). Approaches to Regularized Regression - A Comparison between Gradient Boosting and the Lasso. Methods of Information in Medicine, 55(5), 422-430. https://doi.org/10.3414/ME16-01-0033

MLA:

Hepp, Tobias, et al. "Approaches to Regularized Regression - A Comparison between Gradient Boosting and the Lasso." Methods of Information in Medicine 55.5 (2016): 422-430.

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