DISCOMAX: A Proximity-Preserving Distance Correlation Maximization Algorithm

Abstract

In a regression setting we propose algorithms that reduce the dimensionality of the features while simultaneously maximizing a statistical measure of dependence known as distance correlation between the low-dimensional features and a response variable. This helps in solving the prediction problem with a low-dimensional set of features. Our setting is different from subset-selection algorithms where the problem is to choose the best subset of features for regression. Instead, we attempt to generate a new set of low-dimensional features as in a feature-learning setting. We attempt to keep our proposed approach as model-free and our algorithm does not assume the application of any specific regression model in conjunction with the low-dimensional features that it learns. The algorithm is iterative and is fomulated as a combination of the majorization-minimization and concave-convex optimization procedures. We also present spectral radius based convergence results for the proposed iterations.

Withdrawing as an updated and enhanced version of this paper is on arxiv under my name as well titled Supervised Dimensionality Reduction via Distance Correlation Maximization. See arXiv:1601.00236. That makes this version pointless