Multivariate convex regression with adaptive partitioning

By Lauren Hannah, David B. Dunson. 2011

137 citations recorded by the source corpus.

We propose a new, nonparametric method for multivariate regression subject to convexity or concavity constraints on the response function. Convexity constraints are common in economics, statistics, operations research, financial engineering and optimization, but there is currently no multivariate method that is stable and computationally feasible for more than a few thousand observations. We introduce convex adaptive partitioning (CAP), which creates a globally convex regression model from locally linear estimates fit on adaptively selected covariate partitions. CAP is a computationally efficient, consistent method for convex regression. We demonstrate empirical performance by comparing the performance of CAP to other shape-constrained and unconstrained regression methods for predicting weekly wages and value function approximation for pricing American basket options.

Subfields: Artificial Intelligence, Statistics and Probability

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In Artificial Intelligence

  1. Yining Chen
  2. Richard J. Samworth
  3. Csaba Szepesvari
  4. András György
  5. Gábor Balázs
  6. Junming Yin
  7. Yaoliang Yu
  8. Amir-massoud Farahmand

In Statistics and Probability

  1. Yining Chen
  2. Richard J. Samworth
  3. András György
  4. Gábor Balázs
  5. Junming Yin
  6. Yaoliang Yu
  7. Csaba Szepesvari
  8. Nan Jiang

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