Transfer learning for high-dimensional linear regression via the elastic net

Abstract

In this paper, the high-dimensional linear regression problem is explored via the Elastic Net under the transfer learning framework. Within this framework, potentially related source datasets are leveraged to enhance estimation or prediction beyond what can be achieved solely with the target data. When transferable sources are known, an oracle transfer learning algorithm is proposed based on the Elastic Net. Additionally, the ${\ell }_1/{\ell }_2$ estimation error bounds for the corresponding estimator are established. When the transferable sources are unknown, a novel procedure for detecting transferable sources via the Elastic Net is also proposed, with its selection consistency demonstrated under regular conditions. This method transforms the source detection problem into a variable selection problem in high-dimensional space and always gets results that are consistent with the true outcomes. The performance of these methods is further demonstrated through a variety of numerical examples. Finally, our approach is applied to analyze several real datasets for illustrative purposes.