Random projection ensemble classification
Journal of the Royal Statistical Society. Series B: Statistical Methodology
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Cannings, T., & Samworth, R. (2017). Random projection ensemble classification. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 79 (4), 959-1035. https://doi.org/10.1111/rssb.12228
We introduce a very general method for high-dimensional classification, based on careful combination of the results of applying an arbitrary base classifier to random projections of the feature vectors into a lower-dimensional space. In one special case that we study in detail, the random projections are divided into disjoint groups, and within each group we select the projection yielding the smallest estimate of the test error. Our random projection ensemble classifier then aggregates the results of applying the base classifier on the selected projections, with a data-driven voting threshold to determine the final assignment. Our theoretical results elucidate the effect on performance of increasing the number of projections. Moreover, under a boundary condition implied by the sufficient dimension reduction assumption, we show that the test excess risk of the random projection ensemble classifier can be controlled by terms that do not depend on the original data dimension and a term that becomes negligible as the number of projections increases. The classifier is also compared empirically with several other popular high-dimensional classifiers via an extensive simulation study, which reveals its excellent finite-sample performance.
aggregation, classification, high-dimensional, random projection
Both authors are supported by an Engineering and Physical Sciences Research Council Fellowship EP/J017213/1; the second author is also supported by a Philip Leverhulme prize.
Leverhulme Trust (PLP-2014-353)
External DOI: https://doi.org/10.1111/rssb.12228
This record's URL: https://www.repository.cam.ac.uk/handle/1810/263576