Date of Award
Doctor of Philosophy (PhD)
This dissertation develops novel methodologies for distributed quantile regression analysis
for big data by utilizing a distributed optimization algorithm called the alternating direction
method of multipliers (ADMM). Specifically, we first write the penalized quantile regression
into a specific form that can be solved by the ADMM and propose numerical algorithms
for solving the ADMM subproblems. This results in the distributed QR-ADMM
algorithm. Then, to further reduce the computational time, we formulate the penalized
quantile regression into another equivalent ADMM form in which all the subproblems have
exact closed-form solutions and hence avoid iterative numerical methods. This results in the
single-loop QPADM algorithm that further improve on the computational efficiency of the
QR-ADMM. Both QR-ADMM and QPADM enjoy flexible parallelization by enabling data
splitting across both sample space and feature space, which make them especially appealing
for the case when both sample size n and feature dimension p are large.
Besides the QR-ADMM and QPADM algorithms for penalized quantile regression, we
also develop a group variable selection method by approximating the Bayesian information
criterion. Unlike existing penalization methods for feature selection, our proposed gMIC
algorithm is free of parameter tuning and hence enjoys greater computational efficiency.
Although the current version of gMIC focuses on the generalized linear model, it can be
naturally extended to the quantile regression for feature selection.
We provide theoretical analysis for our proposed methods. Specifically, we conduct numerical
convergence analysis for the QR-ADMM and QPADM algorithms, and provide
asymptotical theories and oracle property of feature selection for the gMIC method. All
our methods are evaluated with simulation studies and real data analysis.
Chair and Committee
Yixin Chen, Jimin Ding, Jose Figueroa-Lopez, Todd Kuffner,
Yu, Liqun, "Distributed Quantile Regression Analysis and a Group Variable Selection Method" (2018). Arts & Sciences Electronic Theses and Dissertations. 1604.