Linear Regression with Limited Observation

Understand

We consider the most common variants of linear regression, including Ridge, Lasso and Support-vector regression, in a setting where the learner is allowed to observe only a fixed number of attributes of each example at training time.

• We present simple and efficient algorithms for these problems: for Lasso and Ridge regression they need the same total number of attributes (up to constants) as do full-information algorithms, for reaching a certain accuracy.
• For Support-vector regression, we require exponentially less attributes compared to the state of the art.
• By that, we resolve an open problem recently posed by Cesa-Bianchi et al.