Yifei Lou – Optimization Online

A Generalized Formulation for Group Selection via ADMM

Published: 2022/04/22, Updated: 2024/05/22

Nonlinear Optimization admm, group sparsity, group variable selection, Nonconvex programming

This paper studies a statistical learning model where the model coefficients have a pre-determined non-overlapping group sparsity structure. We consider a combination of a loss function and a regularizer to recover the desired group sparsity patterns, which can embrace many existing works. We analyze the stationary solution of the proposed formulation, obtaining a sufficient condition … Read more

Iteratively Reweighted Group Lasso based on Log-composite Regularization

Published: 2020/06/29, Updated: 2021/06/07

Nonlinear Optimization directional stationarity, group sparsity, iteratively reweighted algorithm, nonconvex regularization, variable selection

This paper addresses supervised learning problems with structured sparsity, where subsets of model coefficients form distinct groups. We introduce a novel log-composite regularizer in a bi-criteria optimization problem together with a loss (e.g., least squares) in order to reconstruct the desired group sparsity structure. We develop an iteratively reweighted algorithm that solves the group LASSO … Read more