Return to search

Structured sparsity with convex penalty functions

We study the problem of learning a sparse linear regression vector under additional conditions on the structure of its sparsity pattern. This problem is relevant in Machine Learning, Statistics and Signal Processing. It is well known that a linear regression can benefit from knowledge that the underlying regression vector is sparse. The combinatorial problem of selecting the nonzero components of this vector can be “relaxed” by regularising the squared error with a convex penalty function like the ℓ1 norm. However, in many applications, additional conditions on the structure of the regression vector and its sparsity pattern are available. Incorporating this information into the learning method may lead to a significant decrease of the estimation error. In this thesis, we present a family of convex penalty functions, which encode prior knowledge on the structure of the vector formed by the absolute values of the regression coefficients. This family subsumes the ℓ1 norm and is flexible enough to include different models of sparsity patterns, which are of practical and theoretical importance. We establish several properties of these penalty functions and discuss some examples where they can be computed explicitly. Moreover, for solving the regularised least squares problem with these penalty functions, we present a convergent optimisation algorithm and proximal method. Both algorithms are useful numerical techniques taylored for different kinds of penalties. Extensive numerical simulations highlight the benefit of structured sparsity and the advantage offered by our approach over the Lasso method and other related methods, such as using other convex optimisation penalties or greedy methods.

Identiferoai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:565716
Date January 2012
CreatorsMorales, J. M.
PublisherUniversity College London (University of London)
Source SetsEthos UK
Detected LanguageEnglish
TypeElectronic Thesis or Dissertation
Sourcehttp://discovery.ucl.ac.uk/1355964/

Page generated in 0.0019 seconds