Related papers: Sparse Index Tracking Based On $L_{1/2}$ Model And…

Regularization is often used in high-dimensional regression settings to generate a sparse model, which can save tremendous computing resources and identify predictors that are most strongly associated with the response. When the predictors…

It is well known that $\ell_1$ minimization can be used to recover sufficiently sparse unknown signals from compressed linear measurements. In fact, exact thresholds on the sparsity, as a function of the ratio between the system dimensions,…

This paper addresses a quadratic problem with assignment constraints, an NP-hard combinatorial optimization problem arisen from facility location, multiple-input multiple-output detection, and maximum mean discrepancy calculation et al. The…

We derive sharp performance bounds for least squares regression with $L_1$ regularization from parameter estimation accuracy and feature selection quality perspectives. The main result proved for $L_1$ regularization extends a similar…

Regularized regression approaches such as the Lasso have been widely adopted for constructing sparse linear models in high-dimensional datasets. A complexity in fitting these models is the tuning of the parameters which control the level of…

We study a class of non-convex and non-smooth problems with \textit{rank} regularization to promote sparsity in optimal solution. We propose to apply the proximal gradient descent method to solve the problem and accelerate the process with…

Sparse regularization such as $\ell_1$ regularization is a quite powerful and widely used strategy for high dimensional learning problems. The effectiveness of sparse regularization has been supported practically and theoretically by…

So-called sparse estimators arise in the context of model fitting, when one a priori assumes that only a few (unknown) model parameters deviate from zero. Sparsity constraints can be useful when the estimation problem is under-determined,…

In this study, we investigate the $\left\|\cdot\right\|_{\ell_{1}}^{2}-\eta\left\|\cdot\right\|_{\ell_{2}}^{2}$ sparsity regularization with $0< \eta\leq 1$, in the context of nonlinear ill-posed inverse problems. We focus on the…

It was recently established that for convex optimization problems with sparse optimal solutions (be it entry-wise sparsity or matrix rank-wise sparsity) it is possible to design first-order methods with linear convergence rates that depend…

Entropic regularization is quickly emerging as a new standard in optimal transport (OT). It enables to cast the OT computation as a differentiable and unconstrained convex optimization problem, which can be efficiently solved using the…

We consider the problem of estimating the inverse covariance matrix by maximizing the likelihood function with a penalty added to encourage the sparsity of the resulting matrix. We propose a new approach based on the split Bregman method to…

This document contains an educational introduction to the problem of sparsifying parametric models with L0 regularization. We utilize this approach together with dictionary learning to learn sparse polynomial policies for deep reinforcement…

Owing to their statistical properties, non-convex sparse regularizers have attracted much interest for estimating a sparse linear model from high dimensional data. Given that the solution is sparse, for accelerating convergence, a working…

High-dimensional sparse modeling with censored survival data is of great practical importance, as exemplified by modern applications in high-throughput genomic data analysis and credit risk analysis. In this article, we propose a class of…

In this paper, a continuous and non-convex promoting sparsity fraction function is studied in two sparse portfolio selection models with and without short-selling constraints. Firstly, we study the properties of the optimal solution to the…

We consider the problem of matrix completion with side information (\textit{inductive matrix completion}). In real-world applications many side-channel features are typically non-informative making feature selection an important part of the…

Mean-reverting behavior of individuals assets is widely known in financial markets. In fact, we can construct a portfolio that has mean-reverting behavior and use it in trading strategies to extract profits. In this paper, we show that we…

We study the problem of estimating multiple predictive functions from a dictionary of basis functions in the nonparametric regression setting. Our estimation scheme assumes that each predictive function can be estimated in the form of a…

In this paper, we consider the $\alpha\| \cdot\|_{\ell_1}-\beta\| \cdot\|_{\ell_2}$ sparsity regularization with parameter $\alpha\geq\beta\geq0$ for nonlinear ill-posed inverse problems. We investigate the well-posedness of the…