Section: New Results

Trade-off Between Computation Time and Accuracy

Participants : Christophe Biernacki, Maxime Brunin, Alain Célisse.

Most estimates practically arise from algorithmic processes aiming at optimizing some standard, but usually only asymptotically relevant, criteria. Thus, the quality of the resulting estimate is a function of both the iteration number and also the involved sample size. An important question is to design accurate estimates while saving computation time, and we address it in the simplified context of linear regression here. Fixing the sample size, we focus on estimating an early stopping time of a gradient descent estimation process aiming at maximizing the likelihood. It appears that the accuracy gain of such a stopping time increases with the number of covariates, indicating potential interest of the method in real situations involving many covariates. This work has been presented to an international conference [20] and a national conference [29], and a preprint is still being in progress.

Maxime Brunin will defend his PhD thesis related to this topic on January 2018.