Efficient nonconvex sparse group feature selection via continuous and discrete optimization

Shuo Xiang, Xiaotong Shen, Jieping Ye

Research output: Contribution to journalArticle

13 Scopus citations

Abstract

Sparse feature selection has proven to be effective in analyzing high-dimensional data. While promising, most existing works apply convex methods, which may be suboptimal in terms of the accuracy of feature selection and parameter estimation. In this paper, we consider both continuous and discrete nonconvex paradigms to sparse group feature selection, which are motivated by applications that require identifying the underlying group structure and performing feature selection simultaneously. The main contribution of this article is twofold: (1) computationally, we develop efficient optimization algorithms for both continuous and discrete formulations, of which the key step is a projection with two coupled constraints; (2) statistically, we show that the proposed continuous model reconstructs the oracle estimator. Therefore, consistent feature selection and parameter estimation are achieved simultaneously. Numerical results on synthetic and real-world data suggest that the proposed nonconvex methods compare favorably against their competitors, thus achieving desired goal of delivering high performance.

Original languageEnglish (US)
Article number2829
Pages (from-to)28-50
Number of pages23
JournalArtificial Intelligence
Volume224
DOIs
StatePublished - Jul 2015

Keywords

  • Application
  • Discrete optimization
  • EEG data analysis
  • Error bound
  • Nonconvex optimization

ASJC Scopus subject areas

  • Language and Linguistics
  • Linguistics and Language
  • Artificial Intelligence

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