Sparse trace norm regularization
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Abstract: 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 linear combination of the basis functions. By assuming that the coefficient matrix admits a sparse low-rank structure, we formulate the function estimation problem as a convex program regularized by the trace norm and the -norm simultaneously. We propose to solve the convex program using the accelerated gradient (AG) method and the alternating direction method of multipliers (ADMM) respectively; we also develop efficient algorithms to solve the key components in both AG and ADMM. In addition, we conduct theoretical analysis on the proposed function estimation scheme: we derive a key property of the optimal solution to the convex program; based on an assumption on the basis functions, we establish a performance bound of the proposed function estimation scheme (via the composite regularization). Simulation studies demonstrate the effectiveness and efficiency of the proposed algorithms.
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Cited in
(16)- Multivariate response regression with low-rank and generalized sparsity
- Methods for sparse and low-rank recovery under simplex constraints
- Sparse matrices in data analysis
- Consistency of trace norm minimization
- Oracle inequality for sparse trace regression models with exponential \(\beta\)-mixing errors
- Adaptive Huber trace regression with low-rank matrix parameter via nonconvex regularization
- Trace regression model with simultaneously low rank and row(column) sparse parameter
- Norm sensitivity of sparsity regularization with respect to p
- Expectile trace regression via low-rank and group sparsity regularization
- Generalized high-dimensional trace regression via nuclear norm regularization
- The rate of convergence for sparse and low-rank quantile trace regression
- The statistical rate for support matrix machines under low rankness and row (column) sparsity
- Low-Rank Regression Models for Multiple Binary Responses and their Applications to Cancer Cell-Line Encyclopedia Data
- Trace norm regularization: reformulations, algorithms, and multi-task learning
- Quantile trace regression via nuclear norm regularization
- Truncated sparse approximation property and truncated \(q\)-norm minimization
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