arXiv:2506.18092stat.MEcs.LG2025-06被引 1

GRASP通过自适应收缩先验实现分组回归,灵活控制稀疏性。

GRASP: Grouped Regression with Adaptive Shrinkage Priors

  • 采用可调尾部行为的NBP先验,实现组内组间自适应稀疏
  • 直接控制尾部即足够,无需复杂层级结构
  • 能量化组内收缩参数相关性,适合高维分组数据

我们提出GRASP,一种基于正态-贝塔-幂先验(NBP)的简单贝叶斯分组回归框架。NBP先验是霍舍尔先验的自适应推广,其超参数可调节尾部行为,从而在强压缩与岭回归之间灵活控制稀疏性。不同于以往将NBP分解为结构化层级以引入组逆伽马-伽马(GIGG)先验的方法,我们证明仅通过直接控制尾部即可实现目标,无需复杂层级构造。扩展了Xu等人提出的非尾部自适应分组半柯西层级,GRASP将NBP先验同时应用于局部和组级收缩参数,实现组内与组间的自适应稀疏。本工作的关键贡献是提出一个新框架,可显式量化组内收缩参数间的相关性,深化对分组收缩行为的理解。此外,我们设计了一种高效的梅特罗波利斯-哈斯金斯采样器用于超参数估计。在模拟数据与真实数据上的实验表明,GRASP在不同稀疏性和信噪比的分组回归问题中均表现出鲁棒性与通用性。

原文摘要 · Abstract (English)

We introduce GRASP, a simple Bayesian framework for regression with grouped predictors, built on the normal beta prime (NBP) prior. The NBP prior is an adaptive generalization of the horseshoe prior with tunable hyperparameters that control tail behavior, enabling a flexible range of sparsity, from strong shrinkage to ridge-like regularization. Unlike prior work that introduced the group inverse-gamma gamma (GIGG) prior by decomposing the NBP prior into structured hierarchies, we show that directly controlling the tails is sufficient without requiring complex hierarchical constructions. Extending the non-tail adaptive grouped half-Cauchy hierarchy of Xu et al., GRASP assigns the NBP prior to both local and group shrinkage parameters allowing adaptive sparsity within and across groups. A key contribution of this work is a novel framework to explicitly quantify correlations among shrinkage parameters within a group, providing deeper insights into grouped shrinkage behavior. We also introduce an efficient Metropolis-Hastings sampler for hyperparameter estimation. Empirical results on simulated and real-world data demonstrate the robustness and versatility of GRASP across grouped regression problems with varying sparsity and signal-to-noise ratios.

贝叶斯统计分组回归稀疏建模收缩先验

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