Sparse and stable Markowitz portfolios.

We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights. This penalty regularizes (stabilizes) the optimization problem, encourages sparse portfolios (i.e., portfolios with only few active positions), and allows accounting for transaction costs. Our approach recovers as special cases the no-short-positions portfolios, but does allow for short positions in limited number. We implement this methodology on two benchmark data sets constructed by Fama and French. Using only a modest amount of training data, we construct portfolios whose out-of-sample performance, as measured by Sharpe ratio, is consistently and significantly better than that of the naïve evenly weighted portfolio.

A regularized method for selecting nested groups of relevant genes from microarray data.

Gene expression analysis aims at identifying the genes able to accurately predict biological parameters like, for example, disease subtyping or progression. While accurate prediction can be achieved by means of many different techniques, gene identification, due to gene correlation and the limited number of available samples, is a much more elusive problem. Small changes in the expression values often produce different gene lists, and solutions which are both sparse and stable are difficult to obtain. We propose a two-stage regularization method able to learn linear models characterized by a high prediction performance. By varying a suitable parameter these linear models allow to trade sparsity for the inclusion of correlated genes and to produce gene lists which are almost perfectly nested. Experimental results on synthetic and microarray data confirm the interesting properties of the proposed method and its potential as a starting point for further biological investigations.

A sparsity-enforcing method for learning face features.

In this paper, we propose a new trainable system for selecting face features from over-complete dictionaries of image measurements. The starting point is an iterative thresholding algorithm which provides sparse solutions to linear systems of equations. Although the proposed methodology is quite general and could be applied to various image classification tasks, we focus here on the case study of face and eyes detection. For our initial representation, we adopt rectangular features in order to allow straightforward comparisons with existing techniques. For computational efficiency and memory saving requirements, instead of implementing the full optimization scheme on tenths of thousands of features, we propose a three-stage architecture which consists of finding first intermediate solutions to smaller size optimization problems, then merging the obtained results, and next applying further selection procedures. The devised system requires the solution of a number of independent problems, and, hence, the necessary computations could be implemented in parallel. Experimental results obtained on both benchmark and newly acquired face and eyes images indicate that our method is a serious competitor to other feature selection schemes recently popularized in computer vision for dealing with problems of real-time object detection. A major advantage of the proposed system is that it performs well even with relatively small training sets.