A multivariate adaptive stochastic search method for dimensionality reduction in classification

@inproceedings{Tian2010AMA,
  title={A multivariate adaptive stochastic search method for dimensionality reduction in classification},
  author={Tian Siva Tian and Gareth James and Rand R. Wilcox},
  year={2010}
}
High-dimensional classification has become an increasingly important problem. In this paper we propose a "Multivariate Adaptive Stochastic Search" (MASS) approach which first reduces the dimension of the data space and then applies a standard classification method to the reduced space. One key advantage of MASS is that it automatically adjusts to mimic variable selection type methods, such as the Lasso, variable combination methods, such as PCA, or methods that combine these two approaches. The… CONTINUE READING