Eigen-Stratified Models

J. Tuck and S. Boyd

Optimization and Engineering, January 2021.

Stratified models depend in an arbitrary way on a selected categorical feature that takes K values, and depend linearly on the other n features. Laplacian regularization with respect to a graph on the feature values can greatly improve the performance of a stratified model, especially in the low-data regime. A significant issue with Laplacian-regularized stratified models is that the model is K times the size of the base model, which can be quite large.

We address this issue by formulating eigen-stratifed models, which are stratified models with an additional constraint that the model parameters are linear combinations of some modest number m of bottom eigenvectors of the graph Laplacian, i.e., those associated with the m smallest eigenvalues. With eigen-stratified models, we only need to store the m bottom eigenvectors and the corresponding coefficients as the stratified model parameters. This leads to a reduction, sometimes large, of model size when mleq n and m ll K. In some cases, the additional regularization implicit in eigen-stratified models can improve out-of-sample performance over standard Laplacian regularized stratified models.