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Interaction Hard Thresholding: Consistent Sparse Quadratic Regression in Sub-quadratic Time and Space

ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 32 (NIPS 2019), (2019): 7924-7934

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Quadratic regression involves modeling the response as a (generalized) linear function of not only the features x3, but also of quadratic terms x31x32. The inclusion of such higher-order "interaction terms" in regression often provides an easy way to increase accuracy in already -high -dimensional problems. However, this explodes the prob...More

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