Related papers: From safe screening rules to working sets for fast…

The lasso is a popular method to induce shrinkage and sparsity in the solution vector (coefficients) of regression problems, particularly when there are many predictors relative to the number of observations. Solving the lasso in this…

We propose a new framework for deriving screening rules for convex optimization problems. Our approach covers a large class of constrained and penalized optimization formulations, and works in two steps. First, given any approximate point,…

Sparse linear regression (SLR) is a well-studied problem in statistics where one is given a design matrix $X\in\mathbb{R}^{m\times n}$ and a response vector $y=X\theta^*+w$ for a $k$-sparse vector $\theta^*$ (that is, $\|\theta^*\|_0\leq…

Weak supervision (WS) frameworks are a popular way to bypass hand-labeling large datasets for training data-hungry models. These approaches synthesize multiple noisy but cheaply-acquired estimates of labels into a set of high-quality…

Demanding sparsity in estimated models has become a routine practice in statistics. In many situations, we wish to require that the sparsity patterns attained honor certain problem-specific constraints. Hierarchical sparse modeling (HSM)…

Classification and probability estimation are fundamental tasks with broad applications across modern machine learning and data science, spanning fields such as biology, medicine, engineering, and computer science. Recent development of…

Joint sparsity offers powerful structural cues for feature selection, especially for variables that are expected to demonstrate a "grouped" behavior. Such behavior is commonly modeled via group-lasso, multitask lasso, and related methods…

In high-dimensional statistical inference, sparsity regularizations have shown advantages in consistency and convergence rates for coefficient estimation. We consider a generalized version of Sparse-Group Lasso which captures both…

Simultaneous feature selection and non-linear function estimation is challenging in modeling, especially in high-dimensional settings where the number of variables exceeds the available sample size. In this article, we investigate the…

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…

Iteratively reweighted least square (IRLS) is a popular approach to solve sparsity-enforcing regression problems in machine learning. State of the art approaches are more efficient but typically rely on specific coordinate pruning schemes.…

We consider the problem of learning a sparse rule model, a prediction model in the form of a sparse linear combination of rules, where a rule is an indicator function defined over a hyper-rectangle in the input space. Since the number of…

We consider the problem of minimizing an objective function that is the sum of a convex function and a group sparsity-inducing regularizer. Problems that integrate such regularizers arise in modern machine learning applications, often for…

Sparse estimation methods are aimed at using or obtaining parsimonious representations of data or models. They were first dedicated to linear variable selection but numerous extensions have now emerged such as structured sparsity or kernel…

The Lasso is an attractive technique for regularization and variable selection for high-dimensional data, where the number of predictor variables $p_n$ is potentially much larger than the number of samples $n$. However, it was recently…

Forward stagewise regression follows a very simple strategy for constructing a sequence of sparse regression estimates: it starts with all coefficients equal to zero, and iteratively updates the coefficient (by a small amount $\epsilon$) of…

Penalty functions or regularization terms that promote structured solutions to optimization problems are of great interest in many fields. Proposed in this work is a nonconvex structured sparsity penalty that promotes one-sparsity within…

Generalized Linear Models (GLM) form a wide class of regression and classification models, where prediction is a function of a linear combination of the input variables. For statistical inference in high dimension, sparsity inducing…

Learning sparse models from data is an important task in all those frameworks where relevant information should be identified within a large dataset. This can be achieved by formulating and solving suitable sparsity promoting optimization…

We propose a fast method for solving compressed sensing, Lasso regression, and Logistic Lasso regression problems that iteratively runs an appropriate solver using an active set approach. We design a strategy to update the active set that…