sparsenet

swMATH19133WikidataQ114077455 ScholiaQ114077455CRANsparsenetMaRDI QIDQ30963FDOQ30963

Fit Sparse Linear Regression Models via Nonconvex Optimization

Jerome H. Friedman, Trevor Hastie, Rahul Mazumder

Last update: 5 February 2024

Copyright license: GNU General Public License, version 2.0

Software version identifier: 1.4, 1.0, 1.1, 1.2, 1.3, 1.5, 1.6

Source code repository: https://github.com/cran/sparsenet

Description

Efficient procedure for fitting regularization paths between L1 and L0, using the MC+ penalty of Zhang, C.H. (2010)<doi:10.1214/09-AOS729>. Implements the methodology described in Mazumder, Friedman and Hastie (2011) <doi:10.1198/jasa.2011.tm09738>. Sparsenet computes the regularization surface over both the family parameter and the tuning parameter by coordinate descent.

Cites work

• SparseNet: Coordinate Descent With Nonconvex Penalties
• Nearly unbiased variable selection under minimax concave penalty

Described by source

• SparseNet: coordinate descent with nonconvex penalties

Cited In (99)

• Adjusted regularized estimation in the accelerated failure time model with high dimensional covariates
• Confidence Intervals for Sparse Penalized Regression With Random Designs
• Sparse estimation via nonconcave penalized likelihood in factor analysis model
• Transformed \(\ell_1\) regularization for learning sparse deep neural networks
• Variance prior forms for high-dimensional Bayesian variable selection
• Majorization-minimization algorithms for nonsmoothly penalized objective functions
• A generic coordinate descent solver for non-smooth convex optimisation
• Variable selection via generalized SELO-penalized linear regression models
• Compound Poisson processes, latent shrinkage priors and Bayesian nonconvex penalization
• Variable selection via generalized SELO-penalized Cox regression models
• Estimation of an oblique structure via penalized likelihood factor analysis
• Sparsest factor analysis for clustering variables: a matrix decomposition approach
• A penalized likelihood method for structural equation modeling
• Global solutions to folded concave penalized nonconvex learning
• Block Coordinate Descent Methods for Semidefinite Programming
• A majorization-minimization approach to variable selection using spike and slab priors
• Regularized M-estimators with nonconvexity: Statistical and algorithmic theory for local optima
• Sparse classification: a scalable discrete optimization perspective
• Relaxed sparse eigenvalue conditions for sparse estimation via non-convex regularized regression
• Sparse factor regression via penalized maximum likelihood estimation
• Efficient regularized regression with \(L_0\) penalty for variable selection and network construction
• An alternating direction method of multipliers for MCP-penalized regression with high-dimensional data
• Tuning parameter selection in sparse regression modeling
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• Designing penalty functions in high dimensional problems: the role of tuning parameters
• An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
• A discussion on practical considerations with sparse regression methodologies
• Convex optimization under combinatorial sparsity constraints
• Dimension-reduced clustering of functional data via subspace separation
• False Discovery Rate Smoothing
• Solution path clustering with adaptive concave penalty
• Regularized quantile regression under heterogeneous sparsity with application to quantitative genetic traits
• Efficient nonconvex sparse group feature selection via continuous and discrete optimization
• Hierarchical Bayes, maximum a posteriori estimators, and minimax concave penalized likelihood estimation
• Accounting for linkage disequilibrium in genome-wide association studies: a penalized regression method
• cmenet
• Improving Lasso for model selection and prediction
• OR forum: An algorithmic approach to linear regression
• SICA for Cox's proportional hazards model with a diverging number of parameters
• The variational Garrote
• Fast Best Subset Selection: Coordinate Descent and Local Combinatorial Optimization Algorithms
• On Faster Convergence of Cyclic Block Coordinate Descent-type Methods for Strongly Convex Minimization
• Coordinate descent algorithms
• Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
• Novel harmonic regularization approach for variable selection in Cox's proportional hazards model
• Best subset selection via a modern optimization lens
• Strong oracle optimality of folded concave penalized estimation
• Majorization minimization by coordinate descent for concave penalized generalized linear models
• The sparse Laplacian shrinkage estimator for high-dimensional regression
• An ADMM with continuation algorithm for non-convex SICA-penalized regression in high dimensions
• Marginalized Lasso in sparse regression
• Matrix completion with nonconvex regularization: spectral operators and scalable algorithms
• Genetic algorithm versus classical methods in sparse index tracking
• Homotopy continuation approaches for robust SV classification and regression
• Sparse Laplacian shrinkage with the graphical Lasso estimator for regression problems
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• The Spike-and-Slab LASSO
• Difference-of-Convex Learning: Directional Stationarity, Optimality, and Sparsity
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• A coordinate descent algorithm for computing penalized smooth quantile regression
• Approximated penalized maximum likelihood for exploratory factor analysis: an orthogonal case
• AIC for the non-concave penalized likelihood method
• Optimal computational and statistical rates of convergence for sparse nonconvex learning problems
• A selective review of group selection in high-dimensional models
• GAITA: a Gauss-Seidel iterative thresholding algorithm for \(\ell_q\) regularized least squares regression
• Sparse regression at scale: branch-and-bound rooted in first-order optimization
• A general theory of concave regularization for high-dimensional sparse estimation problems
• An unbiased approach to compressed sensing
• A non-convex regularization approach for stable estimation of loss development factors
• Large-scale regression with non-convex loss and penalty
• A fresh look at effect aliasing and interactions: some new wine in old bottles
• Convex and non-convex regularization methods for spatial point processes intensity estimation
• Pathwise coordinate optimization for sparse learning: algorithm and theory
• Minimization of transformed \(L_1\) penalty: theory, difference of convex function algorithm, and robust application in compressed sensing
• On the strong oracle property of concave penalized estimators with infinite penalty derivative at the origin
• cmenet: A New Method for Bi-Level Variable Selection of Conditional Main Effects
• Independently Interpretable Lasso for Generalized Linear Models
• Nonbifurcating Phylogenetic Tree Inference via the Adaptive LASSO
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• A consistent information criterion for support vector machines in diverging model spaces
• A unified primal dual active set algorithm for nonconvex sparse recovery
• The horseshoe-like regularization for feature subset selection
• A unifying framework of high-dimensional sparse estimation with difference-of-convex (DC) regularizations
• Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons
• An outer-inner linearization method for non-convex and nondifferentiable composite regularization problems
• Lasso meets horseshoe: a survey
• Achieving the oracle property of OEM with nonconvex penalties
• Computing the degrees of freedom of rank-regularized estimators and cousins
• ROS regression: integrating regularization with optimal scaling regression
• Testing Sparsity-Inducing Penalties
• Parametrized quasi-soft thresholding operator for compressed sensing and matrix completion
• Smoothing Newton method for \(\ell^0\)-\(\ell^2\) regularized linear inverse problem
• New bounds for subset selection from conic relaxations
• Mining events with declassified diplomatic documents
• Regularization methods for high-dimensional sparse control function models
• Worst-case complexity of cyclic coordinate descent: \(O(n^2)\) gap with randomized version
• Linear Time Dynamic Programming for Computing Breakpoints in the Regularization Path of Models Selected From a Finite Set
• Bayesian bridge quantile regression
• Prediction risk for the horseshoe regression

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