Debiased distributed learning for sparse partial linear models in high dimensions

Although various distributed machine learning schemes have been proposed recently for pure linear models and fully nonparametric models, little attention has been paid on distributed optimization for semi-paramemetric models with multiple-level structures (e.g. sparsity, linearity and nonlinearity). To address these issues, the current paper proposes a new communication-efficient distributed learning algorithm for partially sparse linear models with an increasing number of features. The proposed method is based on the classical divide and conquer strategy for handing big data and each sub-method defined on each subsample consists of a debiased estimation of the double-regularized least squares approach. With the proposed method, we theoretically prove that our global parametric estimator can achieve optimal parametric rate in our semi-parametric model given an appropriate partition on the total data. Specially, the choice of data partition relies on the underlying smoothness of the nonparametric component, but it is adaptive to the sparsity parameter. Even under the non-distributed setting, we develop a new and easily-read proof for optimal estimation of the parametric error in high dimensional partial linear model. Finally, several simulated experiments are implemented to indicate comparable empirical performance of our debiased technique under the distributed setting.