Attribute efficient linear regression with distribution-dependent sampling

We consider a budgeted learning setting, where the learner can only choose and observe a small subset of the attributes of each training example. We develop efficient algorithms for Ridge and Lasso linear regression, which utilize the geometry of the data by a novel distribution-dependent sampling scheme, and have excess risk bounds which are better a factor of up to O(√d/k) over the state-of-the-art, where d is the dimension and k + 1 is the number of observed attributes per example. Moreover, under reasonable assumptions, our algorithms are the first in our setting which can provably use less attributes than full-information algorithms, which is the main concern in budgeted learning. We complement our theoretical analysis with experiments which support our claims.