Two-layer feature reduction for sparse-group lasso via decomposition of convex sets

Jie Wang, Jieping Ye

Research output: Chapter in Book/Report/Conference proceedingConference contribution

22 Scopus citations

Abstract

Sparse-Group Lasso (SGL) has been shown to be a powerful regression technique for simultaneously discovering group and within-group sparse patterns by using a combination of the ℓ<inf>1</inf> and ℓ<inf>2</inf> norms. However, in large-scale applications, the complexity of the regularizers entails great computational challenges. In this paper, we propose a novel two-layer feature reduction method (TLFre) for SGL via a decomposition of its dual feasible set. The two-layer reduction is able to quickly identify the inactive groups and the inactive features, respectively, which are guaranteed to be absent from the sparse representation and can be removed from the optimization. Existing feature reduction methods are only applicable for sparse models with one sparsity-inducing regularizer. To our best knowledge, TLFre is the first one that is capable of dealing with multiple sparsity-inducing regularizers. Moreover, TLFre has a very low computational cost and can be integrated with any existing solvers. Experiments on both synthetic and real data sets show that TLFre improves the efficiency of SGL by orders of magnitude.

Original languageEnglish (US)
Title of host publicationAdvances in Neural Information Processing Systems
PublisherNeural information processing systems foundation
Pages2132-2140
Number of pages9
Volume3
EditionJanuary
StatePublished - 2014
Event28th Annual Conference on Neural Information Processing Systems 2014, NIPS 2014 - Montreal, Canada
Duration: Dec 8 2014Dec 13 2014

Other

Other28th Annual Conference on Neural Information Processing Systems 2014, NIPS 2014
CountryCanada
CityMontreal
Period12/8/1412/13/14

ASJC Scopus subject areas

  • Computer Networks and Communications
  • Information Systems
  • Signal Processing

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