On Model Selection Consistency of Lasso for High-Dimensional Ising Models

16 Oct 2021  ·  Xiangming Meng, Tomoyuki Obuchi, Yoshiyuki Kabashima ·

We theoretically analyze the model selection consistency of least absolute shrinkage and selection operator (Lasso) for high-dimensional Ising models. For random regular (RR) graphs of size $p$ with regular node degree $d$ and uniform couplings $\theta_0$, it is rigorously proved that Lasso without post-thresholding is model selection consistent in the whole paramagnetic phase with the same order of sample complexity $n=\Omega{(d^3\log{p})}$ as that of $\ell_1$-regularized logistic regression ($\ell_1$-LogR). This result is consistent with the conjecture in $\textit{Meng, Obuchi, and Kabashima 2021}$ using the non-rigorous replica method from statistical physics and thus complements it with a rigorous proof. For general tree-like graphs, it is demonstrated that the same result as RR graphs can be obtained under mild assumptions of the dependency condition and incoherence condition. Moreover, we provide a rigorous proof of the model selection consistency of Lasso with post-thresholding for general tree-like graphs in the paramagnetic phase without further assumptions on the dependency and incoherence conditions. Experimental results agree well with our theoretical analysis.

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