Nonconvex Sparse Logistic Regression With Weakly Convex Regularization

DOI10.1109/TSP.2018.2824289MaRDI QIDQ4622208zbMATH OpenOpenAlexFDO

Authors Xinyue Shen, Y. T. Gu

Publication date 12 February 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.02059

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12) Nonconvex programming, global optimization (90C26)

Abstract: In this work we propose to fit a sparse logistic regression model by a weakly convex regularized nonconvex optimization problem. The idea is based on the finding that a weakly convex function as an approximation of the $el{l}_0$ pseudo norm is able to better induce sparsity than the commonly used $el{l}_1$ norm. For a class of weakly convex sparsity inducing functions, we prove the nonconvexity of the corresponding sparse logistic regression problem, and study its local optimality conditions and the choice of the regularization parameter to exclude trivial solutions. Despite the nonconvexity, a method based on proximal gradient descent is used to solve the general weakly convex sparse logistic regression, and its convergence behavior is studied theoretically. Then the general framework is applied to a specific weakly convex function, and a necessary and sufficient local optimality condition is provided. The solution method is instantiated in this case as an iterative firm-shrinkage algorithm, and its effectiveness is demonstrated in numerical experiments by both randomly generated and real datasets.

Cited in

(9)

• Variable smoothing for weakly convex composite functions
• Variable smoothing incremental aggregated gradient method for nonsmooth nonconvex regularized optimization
• An incremental aggregated proximal ADMM for linearly constrained nonconvex optimization with application to sparse logistic regression problems
• Run-and-inspect method for nonconvex optimization and global optimality bounds for R-local minimizers
• A coordinate descent MM algorithm for fast computation of sparse logistic PCA
• Feature screening strategy for non-convex sparse logistic regression with log sum penalty
• Variable smoothing alternating proximal gradient algorithm for coupled composite optimization
• Error estimates for weakly convex frame-based regularization including learned filters
• Primal-dual algorithm for weakly convex functions under sharpness conditions

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