Related papers: Structured Sparsity via Alternating Direction Meth…

Nonconvex penalty methods for sparse modeling in linear regression have been a topic of fervent interest in recent years. Herein, we study a family of nonconvex penalty functions that we call the trimmed Lasso and that offers exact control…

We consider the problem of sparse variable selection in nonparametric additive models, with the prior knowledge of the structure among the covariates to encourage those variables within a group to be selected jointly. Previous works either…

In this paper, we develop a randomized algorithm and theory for learning a sparse model from large-scale and high-dimensional data, which is usually formulated as an empirical risk minimization problem with a sparsity-inducing regularizer.…

Sparse logistic regression is for classification and feature selection simultaneously. Although many studies have been done to solve $\ell_1$-regularized logistic regression, there is no equivalently abundant work on solving sparse logistic…

Regularization techniques are widely employed in optimization-based approaches for solving ill-posed inverse problems in data analysis and scientific computing. These methods are based on augmenting the objective with a penalty function,…

Motivated by the observation that a given signal $\boldsymbol{x}$ admits sparse representations in multiple dictionaries $\boldsymbol{\Psi}_d$ but with varying levels of sparsity across dictionaries, we propose two new algorithms for the…

Recently, $L_1$ regularization have been attracted extensive attention and successfully applied in mean-variance portfolio selection for promoting out-of-sample properties and decreasing transaction costs. However, $L_1$ regularization…

Sparse linear regression -- finding an unknown vector from linear measurements -- is now known to be possible with fewer samples than variables, via methods like the LASSO. We consider the multiple sparse linear regression problem, where…

Large scale, streaming datasets are ubiquitous in modern machine learning. Streaming algorithms must be scalable, amenable to incremental training and robust to the presence of non-stationarity. In this work consider the problem of learning…

Group or cluster structure on explanatory variables in machine learning problems is a very general phenomenon, which has attracted broad interest from practitioners and theoreticians alike. In this work we contribute an approach to sparse…

Regularization plays a pivotal role when facing the challenge of solving ill-posed inverse problems, where the number of observations is smaller than the ambient dimension of the object to be estimated. A line of recent work has studied…

We describe an apparatus for subgradient-following of the optimum of convex problems with variational penalties. In this setting, we receive a sequence $y_i,\ldots,y_n$ and seek a smooth sequence $x_1,\ldots,x_n$. The smooth sequence needs…

Conventional algorithms for sparse signal recovery and sparse representation rely on $l_1$-norm regularized variational methods. However, when applied to the reconstruction of $\textit{sparse images}$, i.e., images where only a few pixels…

Sparse data models, where data is assumed to be well represented as a linear combination of a few elements from a dictionary, have gained considerable attention in recent years, and their use has led to state-of-the-art results in many…

The need for fast sparse optimization is emerging, e.g., to deal with large-dimensional data-driven problems and to track time-varying systems. In the framework of linear sparse optimization, the iterative shrinkage-thresholding algorithm…

For high-dimensional sparse parameter estimation problems, Log-Sum Penalty (LSP) regularization effectively reduces the sampling sizes in practice. However, it still lacks theoretical analysis to support the experience from previous…

We present an alternating augmented Lagrangian method for convex optimization problems where the cost function is the sum of two terms, one that is separable in the variable blocks, and a second that is separable in the difference between…

Sparse methods for supervised learning aim at finding good linear predictors from as few variables as possible, i.e., with small cardinality of their supports. This combinatorial selection problem is often turned into a convex optimization…

Nonnegative matrix factorization (NMF) has become a ubiquitous tool for data analysis. An important variant is the sparse NMF problem which arises when we explicitly require the learnt features to be sparse. A natural measure of sparsity is…

Nowadays, several data analysis problems require for complexity reduction, mainly meaning that they target at removing the non-influential covariates from the model and at delivering a sparse model. When categorical covariates are present,…