Finding maximally sparse representations from overcomplete feature dictionaries frequently involves minimizing a cost function composed of a likelihood (or data fit) term and a prior (or penalty function) that favors sparsity. While typically the prior is factorial, here we examine non-factorial alternatives that have a number of desirable properties relevant to sparse estimation and are easily implemented using an efficient, globally-convergent reweighted \ell_1 minimization procedure. The first method under consideration arises from the sparse Bayesian learning (SBL) framework. Although based on a highly non-convex underlying cost function, in the context of canonical sparse estimation problems, we prove uniform superiority of this method over the Lasso in that, (i) it can never do worse, and (ii) for any dictionary and sparsity profile, there will always exist cases where it does better. These results challenge the prevailing reliance on strictly convex penalty functions for finding sparse solutions.

Finding maximally sparse representations from overcomplete feature dictionaries frequently involves minimizing a cost function composed of a likelihood (or data fit) term and a prior (or penalty function) that favors sparsity. While typically the prior is factorial, here we examine non-factorial alternatives that have a number of desirable properties relevant to sparse estimation and are easily implemented using an efficient, globally-convergent reweighted $\ell_1$ minimization procedure. The first method under consideration arises from the sparse Bayesian learning (SBL) framework. Although based on a highly non-convex underlying cost function, in the context of canonical sparse estimation problems, we prove uniform superiority of this method over the Lasso in that, (i) it can never do worse, and (ii) for any dictionary and sparsity profile, there will always exist cases where it does better. These results challenge the prevailing reliance on strictly convex penalty functions for finding sparse solutions.

Gaussian processes (GPs) provide a probabilistic nonparametric representation of functions in regression, classification, and other problems. Unfortunately, exact learning with GPs is intractable for large datasets. A variety of approximate GP methods have been proposed that essentially map the large dataset into a small set of basis points. Among them, two state-of-the-art methods are sparse pseudo-input Gaussian process (SPGP) (Snelson and Ghahramani, 2006) and variablesigma GP (VSGP) Walder et al. (2008), which generalizes SPGP and allows each basis point to have its own length scale. However, VSGP was only derived for regression. In this paper, we propose a new sparse GP framework that uses expectation propagation to directly approximate general GP likelihoods using a sparse and smooth basis. It includes both SPGP and VSGP for regression as special cases. Plus as an EP algorithm, it inherits the ability to process data online. As a particular choice of approximating family, we blur each basis point with a Gaussian distribution that has a full covariance matrix representing the data distribution around that basis point; as a result, we can summarize local data manifold information with a small set of basis points. Our experiments demonstrate that this framework outperforms previous GP classification methods on benchmark datasets in terms of minimizing divergence to the non-sparse GP solution as well as lower misclassification rate.

Finding maximally sparse representations from overcomplete feature dictionaries frequently involves minimizing a cost function composed of a likelihood (or data fit) term and a prior (or penalty function) that favors sparsity. While typically the prior is factorial, here we examine non-factorial alternatives that have a number of desirable properties relevant to sparse estimation and are easily implemented using an efficient, globally-convergent reweighted $\ell_1$ minimization procedure. The first method under consideration arises from the sparse Bayesian learning (SBL) framework. Although based on a highly non-convex underlying cost function, in the context of canonical sparse estimation problems, we prove uniform superiority of this method over the Lasso in that, (i) it can never do worse, and (ii) for any dictionary and sparsity profile, there will always exist cases where it does better. These results challenge the prevailing reliance on strictly convex penalty functions for finding sparse solutions. We then derive a new non-factorial variant with similar properties that exhibits further performance improvements in empirical tests. For both of these methods, as well as traditional factorial analogs, we demonstrate the effectiveness of reweighted $\ell_1$-norm algorithms in handling more general sparse estimation problems involving classification, group feature selection, and non-negativity constraints. As a byproduct of this development, a rigorous reformulation of sparse Bayesian classification (e.g., the relevance vector machine) is derived that, unlike the original, involves no approximation steps and descends a well-defined objective function.