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Union support recovery in multi-task learning. (English) Zbl 1280.62047

Summary: We sharply characterize the performance of different penalization schemes for the problem of selecting the relevant variables in the multi-task setting. Previous work focuses on the regression problem where conditions on the design matrix complicate the analysis. A clearer and simpler picture emerges by studying the Normal means model. This model, often used in the field of statistics, is a simplified model that provides a laboratory for studying complex procedures.

MSC:

62G08 Nonparametric regression and quantile regression
62J07 Ridge regression; shrinkage estimators (Lasso)
68T05 Learning and adaptive systems in artificial intelligence
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