Folded concave penalized sparse linear regression: sparsity, statistical performance, and algorithmic theory for local solutions

• 成果类型: Article
• 署名作者: Liu, Hongcheng; Yao, Tao; Li, Runze; Ye, Yinyu
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Stanford University
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-017-1114-y
• 发表日期: 2017
• 页码: 207-240
• 关键词: VARIABLE SELECTION; M-ESTIMATORS; likelihood; regularization; complexity; rates

摘要

This paper concerns the folded concave penalized sparse linear regression (FCPSLR), a class of popular sparse recovery methods. Although FCPSLR yields desirable recovery performance when solved globally, computing a global solution is NP-complete. Despite some existing statistical performance analyses on local minimizers or on specific FCPSLR-based learning algorithms, it still remains open questions whether local solutions that are known to admit fully polynomial-time approximation schemes (FPTAS) may already be sufficient to ensure the statistical performance, and whether that statistical performance can be non-contingent on the specific designs of computing procedures. To address the questions, this paper presents the following threefold results: (1) Any local solution (stationary point) is a sparse estimator, under some conditions on the parameters of the folded concave penalties. (2) Perhaps more importantly, any local solution satisfying a significant subspace second-order necessary condition (SONC), which is weaker than the second-order KKT condition, yields a bounded error in approximating the true parameter with high probability. In addition, if the minimal signal strength is sufficient, the SONC solution likely recovers the oracle solution. This result also explicates that the goal of improving the statistical performance is consistent with the optimization criteria of minimizing the suboptimality gap in solving the non-convex programming formulation of FCPSLR. (3) We apply (2) to the special case of FCPSLR with minimax concave penalty and show that under the restricted eigenvalue condition, any SONC solution with a better objective value than the Lasso solution entails the strong oracle property. In addition, such a solution generates a model error (ME) comparable to the optimal but exponential-time sparse estimator given a sufficient sample size, while the worst-case ME is comparable to the Lasso in general. Furthermore, to guarantee the SONC admits FPTAS.