Smoothing proximal gradient method for general structured sparse regression
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Publication:439167
DOI10.1214/11-AOAS514zbMATH Open1243.62100arXiv1005.4717OpenAlexW1989060270MaRDI QIDQ439167FDOQ439167
Authors: Xi Chen, Qihang Lin, Seyoung Kim, Jaime G. Carbonell, Eric P. Xing 
Publication date: 1 August 2012
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Abstract: We study the problem of estimating high-dimensional regression models regularized by a structured sparsity-inducing penalty that encodes prior structural information on either the input or output variables. We consider two widely adopted types of penalties of this kind as motivating examples: (1) the general overlapping-group-lasso penalty, generalized from the group-lasso penalty; and (2) the graph-guided-fused-lasso penalty, generalized from the fused-lasso penalty. For both types of penalties, due to their nonseparability and nonsmoothness, developing an efficient optimization method remains a challenging problem. In this paper we propose a general optimization approach, the smoothing proximal gradient (SPG) method, which can solve structured sparse regression problems with any smooth convex loss under a wide spectrum of structured sparsity-inducing penalties. Our approach combines a smoothing technique with an effective proximal gradient method. It achieves a convergence rate significantly faster than the standard first-order methods, subgradient methods, and is much more scalable than the most widely used interior-point methods. The efficiency and scalability of our method are demonstrated on both simulation experiments and real genetic data sets.
Full work available at URL: https://arxiv.org/abs/1005.4717
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