TITLE:
A Graduated Nonconvex Regularization for Sparse High Dimensional Model Estimation
AUTHORS:
Thomas F. Coleman, Yuying Li
KEYWORDS:
Sparse Model Estimation, Variable Selection lo Regularization
JOURNAL NAME:
Journal of Computer and Communications,
Vol.2 No.11,
September
12,
2014
ABSTRACT:
Many high dimensional data mining problems
can be formulated as minimizing an empirical loss function with a penalty proportional
to the number of variables required to describe a model. We propose a graduated
non-convexification method to facilitate tracking of a global minimizer of this
problem. We prove that under some conditions the proposed regularization
problem using the continuous piecewise linear approximation is equivalent to
the original lo
regularization
problem. In addition, a family of graduated nonconvex approximations are
proposed to approximate its l1
continuous
approximation. Computational results are presented to illustrate the
performance.