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A Family of Penalty Functions for Structured Sparsity
Charles A Micchelli · Jean M Morales · Massimiliano Pontil
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.
Author Information
Charles A Micchelli (City Univ. of Hong Kong)
Jean M Morales (University College London)
Massimiliano Pontil (IIT & UCL)
Related Events (a corresponding poster, oral, or spotlight)
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2010 Poster: A Family of Penalty Functions for Structured Sparsity »
Wed. Dec 8th 08:00 -- 08:00 AM Room
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