An $l_1$-oracle inequality for the Lasso in high-dimensional mixtures of experts models

TrungTin Nguyen, Hien D Nguyen, Faicel Chamroukhi, Geoffrey J McLachlan

Mixtures of experts (MoE) models are a popular framework for modeling heterogeneity in data, for both regression and classification problems in statistics and machine learning, due to their flexibility and the abundance of available statistical estimation and model choice tools. Such flexibility comes from allowing the mixture weights (or gating functions) in the MoE model to depend on the explanatory variables, along with the experts (or component densities). This permits the modeling of data arising from more complex data generating processes when compared to the classical finite mixtures and finite mixtures of regression models, whose mixing parameters are independent of the covariates. The use of MoE models in a high-dimensional setting, when the number of explanatory variables can be much larger than the sample size, is challenging from a computational point of view, and in particular from a theoretical point of view, where the literature is still lacking results for dealing with the curse of dimensionality, for both the statistical estimation and feature selection problems. We consider the finite MoE model with soft-max gating functions and Gaussian experts for high-dimensional regression on heterogeneous data, and its $l_1$-regularized estimation via the Lasso. We focus on the Lasso estimation properties rather than its feature selection properties. We provide a lower bound on the regularization parameter of the Lasso function that ensures an $l_1$-oracle inequality satisfied by the Lasso estimator according to the Kullback--Leibler loss.

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