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Preprints, Working Papers, ... Year : 2020

FANOK: Knockoffs in Linear Time

Abstract

We describe a series of algorithms that efficiently implement Gaussian model-X knockoffs to control the false discovery rate on large scale feature selection problems. Identifying the knockoff distribution requires solving a large scale semidefinite program for which we derive several efficient methods. One handles generic covariance matrices, has a complexity scaling as $O(p^3)$ where $p$ is the ambient dimension, while another assumes a rank $k$ factor model on the covariance matrix to reduce this complexity bound to $O(pk^2)$. We also derive efficient procedures to both estimate factor models and sample knockoff covariates with complexity linear in the dimension. We test our methods on problems with $p$ as large as $500,000$.

Dates and versions

hal-02983262 , version 1 (29-10-2020)

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Cite

Armin Askari, Quentin Rebjock, Alexandre d'Aspremont, Laurent El Ghaoui. FANOK: Knockoffs in Linear Time. 2020. ⟨hal-02983262⟩
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