Collaborating Authors

A totally unimodular view of structured sparsity Machine Learning

This paper describes a simple framework for structured sparse recovery based on convex optimization. We show that many structured sparsity models can be naturally represented by linear matrix inequalities on the support of the unknown parameters, where the constraint matrix has a totally unimodular (TU) structure. For such structured models, tight convex relaxations can be obtained in polynomial time via linear programming. Our modeling framework unifies the prevalent structured sparsity norms in the literature, introduces new interesting ones, and renders their tightness and tractability arguments transparent.

Generalized Linear Model Regression under Distance-to-set Penalties Machine Learning

Estimation in generalized linear models (GLM) is complicated by the presence of constraints. One can handle constraints by maximizing a penalized log-likelihood. Penalties such as the lasso are effective in high dimensions, but often lead to unwanted shrinkage. This paper explores instead penalizing the squared distance to constraint sets. Distance penalties are more flexible than algebraic and regularization penalties, and avoid the drawback of shrinkage. To optimize distance penalized objectives, we make use of the majorization-minimization principle. Resulting algorithms constructed within this framework are amenable to acceleration and come with global convergence guarantees. Applications to shape constraints, sparse regression, and rank-restricted matrix regression on synthetic and real data showcase strong empirical performance, even under non-convex constraints.

Exact block-wise optimization in group lasso and sparse group lasso for linear regression Machine Learning

The group lasso is a penalized regression method, used in regression problems where the covariates are partitioned into groups to promote sparsity at the group level. Existing methods for finding the group lasso estimator either use gradient projection methods to update the entire coefficient vector simultaneously at each step, or update one group of coefficients at a time using an inexact line search to approximate the optimal value for the group of coefficients when all other groups' coefficients are fixed. We present a new method of computation for the group lasso in the linear regression case, the Single Line Search (SLS) algorithm, which operates by computing the exact optimal value for each group (when all other coefficients are fixed) with one univariate line search. We perform simulations demonstrating that the SLS algorithm is often more efficient than existing computational methods. We also extend the SLS algorithm to the sparse group lasso problem via the Signed Single Line Search (SSLS) algorithm, and give theoretical results to support both algorithms.

A Family of Penalty Functions for Structured Sparsity

Neural Information Processing Systems

We study the problem of learning a sparse linear regression vector under additional conditions on the structure of its sparsity pattern. We present a family of convex penalty functions, which encode this prior knowledge by means of a set of constraints on the absolute values of the regression coefficients. This family subsumes the $\ell_1$ norm and is flexible enough to include different models of sparsity patterns, which are of practical and theoretical importance. We establish some important properties of these functions and discuss some examples where they can be computed explicitly. Moreover, we present a convergent optimization algorithm for solving regularized least squares with these penalty functions. Numerical simulations highlight the benefit of structured sparsity and the advantage offered by our approach over the Lasso and other related methods.

High-dimensional Mixed Graphical Models Machine Learning

While graphical models for continuous data (Gaussian graphical models) and discrete data (Ising models) have been extensively studied, there is little work on graphical models linking both continuous and discrete variables (mixed data), which are common in many scientific applications. We propose a novel graphical model for mixed data, which is simple enough to be suitable for high-dimensional data, yet flexible enough to represent all possible graph structures. We develop a computationally efficient regression-based algorithm for fitting the model by focusing on the conditional log-likelihood of each variable given the rest. The parameters have a natural group structure, and sparsity in the fitted graph is attained by incorporating a group lasso penalty, approximated by a weighted $\ell_1$ penalty for computational efficiency. We demonstrate the effectiveness of our method through an extensive simulation study and apply it to a music annotation data set (CAL500), obtaining a sparse and interpretable graphical model relating the continuous features of the audio signal to categorical variables such as genre, emotions, and usage associated with particular songs. While we focus on binary discrete variables, we also show that the proposed methodology can be easily extended to general discrete variables.