Communication-efficient sparse regression: a one-shot approach

14 Mar 2015  ·  Jason D. Lee, Yuekai Sun, Qiang Liu, Jonathan E. Taylor ·

We devise a one-shot approach to distributed sparse regression in the high-dimensional setting. The key idea is to average "debiased" or "desparsified" lasso estimators. We show the approach converges at the same rate as the lasso as long as the dataset is not split across too many machines. We also extend the approach to generalized linear models.

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