vignettes/web/adaptive-rescaling.rmd
adaptive-rescaling.rmdWhen fitting penalized regression models, it is standard practice (adopted by ncvreg, glmnet, and many other software packages) to standardize the coefficients prior to model fitting. Specifically, this means centering and scaling each feature so that
\[\begin{align*} \frac{1}{n} \sum_{i=1}^n x_{ij} &= 0 \\ \frac{1}{n} \sum_{i=1}^n x_{ij}^2 &= 1. \end{align*}\]
Fitting takes place on this standardized scale, but the inverse transformation is applied so that coefficients are returned on the original scale. This is appealing from a computational perspective, but also ensures equivariance with respect to the scale of the features (i.e., one obtains the same predicted values if features are measured in inches or meters, and so on).
For logistic, Poisson, and Cox regression models, ncvreg adopts the approach of constructing quadratic approximations to the loss function before updating estimates of the regression coefficients:
\[ Q_{\lambda,\gamma}(\bb) \approx \frac{1}{2n}(\yy - \X\bb)'\W(\yy-\X\bb) + \sum_{j=1}^p p_{\lambda,\gamma}(\abs{\beta_j}). \]
The equivalent standardization conditions for this weighted least squares loss are
\[\begin{align*} \frac{1}{n} \sum_{i=1}^n w_i x_{ij} &= 0 \\ \frac{1}{n} \sum_{i=1}^n w_i x_{ij}^2 &= 1. \end{align*}\]
However, because the approximation is iterative, the weights are continually changing and these conditions cannot simply be imposed at the outset. There are (at least) two reasonable courses of action here. One is to simply impose the original standardization conditions and work around the fact that features are no longer standardized during the coordinate descent fitting steps. The other is to continuously enforce the weighted standardization conditions; in ncvreg, we refer to this as “adaptive rescaling.”
For lasso-penalized models, the distinction is not particularly important. However, for MCP and SCAD, adaptive rescaling changes the meaning of the \(\gamma\) parameter. For example, if \(w_i=0.25\) for all \(i\) (as might be the case in logistic regression), then we would need to set \(\gamma=12\) in order to obtain a model that behaves like \(\gamma=3\) would for linear regression. To ensure a consistent meaning for \(\gamma\) across different models (i.e., that \(\gamma=3\) remains a reasonable default in terms of balancing bias and variance), we use adaptive rescaling in the ncvreg package.