Quantum Algorithms for the Pathwise Lasso (2312.14141v2)

Abstract: We present a novel quantum high-dimensional linear regression algorithm with an $\ell_1$-penalty based on the classical LARS (Least Angle Regression) pathwise algorithm. Similarly to available classical algorithms for Lasso, our quantum algorithm provides the full regularisation path as the penalty term varies, but quadratically faster per iteration under specific conditions. A quadratic speedup on the number of features $d$ is possible by using the quantum minimum-finding routine from D\"urr and Hoyer (arXiv'96) in order to obtain the joining time at each iteration. We then improve upon this simple quantum algorithm and obtain a quadratic speedup both in the number of features $d$ and the number of observations $n$ by using the approximate quantum minimum-finding routine from Chen and de Wolf (ICALP'23). As one of our main contributions, we construct a quantum unitary to approximately compute the joining times to be searched over by the approximate quantum minimum finding. Since the joining times are no longer exactly computed, it is no longer clear that the resulting approximate quantum algorithm obtains a good solution. As our second main contribution, we prove, via an approximate version of the KKT conditions and a duality gap, that the LARS algorithm (and thus our quantum algorithm) is robust to errors. This means that it still outputs a path that minimises the Lasso cost function up to a small error if the joining times are approximately computed. Moreover, we show that, when the observations are sampled from a Gaussian distribution, our quantum algorithm's complexity only depends polylogarithmically on $n$, exponentially better than the classical LARS algorithm, while keeping the quadratic improvement on $d$. Finally, we propose a dequantised algorithm that also retains the polylogarithmic dependence on $n$, albeit with the linear scaling on $d$ from the standard LARS algorithm.