Structured Sparsity through Convex Optimization

Structured Sparsity through Convex Optimization. Bach, F., Jenatton, R., Mairal, J., & Obozinski, G. Statistical Science, 27(4):450--468, November, 2012. 00081

Paper doi abstract bibtex

Sparse estimation methods are aimed at using or obtaining parsimonious representations of data or models. While naturally cast as a combinatorial optimization problem, variable or feature selection admits a convex relaxation through the regularization by the ℓ1\ell_\1\-norm. In this paper, we consider situations where we are not only interested in sparsity, but where some structural prior knowledge is available as well. We show that the ℓ1\ell_\1\-norm can then be extended to structured norms built on either disjoint or overlapping groups of variables, leading to a flexible framework that can deal with various structures. We present applications to unsupervised learning, for structured sparse principal component analysis and hierarchical dictionary learning, and to supervised learning in the context of nonlinear variable selection.

@article{ bach_structured_2012,
  title = {Structured {Sparsity} through {Convex} {Optimization}},
  volume = {27},
  issn = {0883-4237, 2168-8745},
  url = {http://projecteuclid.org/euclid.ss/1356098550},
  doi = {10.1214/12-STS394},
  abstract = {Sparse estimation methods are aimed at using or obtaining parsimonious representations of data or models. While naturally cast as a combinatorial optimization problem, variable or feature selection admits a convex relaxation through the regularization by the ℓ1{\}ell_\{1\}-norm. In this paper, we consider situations where we are not only interested in sparsity, but where some structural prior knowledge is available as well. We show that the ℓ1{\}ell_\{1\}-norm can then be extended to structured norms built on either disjoint or overlapping groups of variables, leading to a flexible framework that can deal with various structures. We present applications to unsupervised learning, for structured sparse principal component analysis and hierarchical dictionary learning, and to supervised learning in the context of nonlinear variable selection.},
  language = {EN},
  number = {4},
  urldate = {2015-03-04TZ},
  journal = {Statistical Science},
  author = {Bach, Francis and Jenatton, Rodolphe and Mairal, Julien and Obozinski, Guillaume},
  month = {November},
  year = {2012},
  mrnumber = {MR3025128},
  note = {00081 },
  pages = {450--468}
}

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