Joint Nuclear and $\ell_1$ Regularization for Logistic Matrix Regression with Applications to Brain Imaging
Damian Brzyski, Aaron Cohen, Zijian Wang, Mario Dzemidzic, David A. Kareken, Jaroslaw Harezlak
Abstract
We introduce a new convex optimization framework for logistic scalar-on-matrix regression which incorporates nuclear and $\ell_1$ norm penalties to enforce simultaneously low-rank and sparse structures in the estimated coefficient matrix. The proposed method enables interpretable modeling of high-dimensional matrix-valued predictors in the presence of binary responses. We derive a custom algorithm based on the Alternating Direction Method of Multipliers (ADMM) to efficiently solve the resulting convex optimization problem and establish the theoretical properties of the obtained solution. Numerical experiments clearly demonstrate the effectiveness of our method in recovering meaningful predictive patterns. Finally, we apply our method to the brain imaging data to identify structures in functional brain connectivity matrices that are characteristic of subjects with a family history of alcohol use disorders (AUDs).
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