期刊
SIAM JOURNAL ON SCIENTIFIC COMPUTING
卷 36, 期 5, 页码 S78-S110出版社
SIAM PUBLICATIONS
DOI: 10.1137/130919258
关键词
quantile regression; random sampling algorithms; massive data set
资金
- Army Research Office
Quantile regression is a method to estimate the quantiles of the conditional distribution of a response variable, and as such it permits a much more accurate portrayal of the relationship between the response variable and observed covariates than methods such as least-squares or least absolute deviations regression. It can be expressed as a linear program, and, with appropriate preprocessing, interior-point methods can be used to find a solution for moderately large problems. Dealing with very large problems, e.g., involving data up to and beyond the terabyte regime, remains a challenge. Here, we present a randomized algorithm that runs in nearly linear time in the size of the input and that, with constant probability, computes a (1 + epsilon) approximate solution to an arbitrary quantile regression problem. As a key step, our algorithm computes a low-distortion subspace-preserving embedding with respect to the loss function of quantile regression. Our empirical evaluation illustrates that our algorithm is competitive with the best previous work on small to medium-sized problems, and that in addition it can be implemented in MapReduce-like environments and applied to terabyte-sized problems.
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