### Abstract

This paper concerns the folded concave penalized sparse linear regression (FCPSLR), a class of popular sparse recovery methods. Although FCPSLR yields desirable recovery performance when solved globally, computing a global solution is NP-complete. Despite some existing statistical performance analyses on local minimizers or on specific FCPSLR-based learning algorithms, it still remains open questions whether local solutions that are known to admit fully polynomial-time approximation schemes (FPTAS) may already be sufficient to ensure the statistical performance, and whether that statistical performance can be non-contingent on the specific designs of computing procedures. To address the questions, this paper presents the following threefold results: (1) Any local solution (stationary point) is a sparse estimator, under some conditions on the parameters of the folded concave penalties. (2) Perhaps more importantly, any local solution satisfying a significant subspace second-order necessary condition (S
^{3}
ONC), which is weaker than the second-order KKT condition, yields a bounded error in approximating the true parameter with high probability. In addition, if the minimal signal strength is sufficient, the S
^{3}
ONC solution likely recovers the oracle solution. This result also explicates that the goal of improving the statistical performance is consistent with the optimization criteria of minimizing the suboptimality gap in solving the non-convex programming formulation of FCPSLR. (3) We apply (2) to the special case of FCPSLR with minimax concave penalty and show that under the restricted eigenvalue condition, any S
^{3}
ONC solution with a better objective value than the Lasso solution entails the strong oracle property. In addition, such a solution generates a model error (ME) comparable to the optimal but exponential-time sparse estimator given a sufficient sample size, while the worst-case ME is comparable to the Lasso in general. Furthermore, to guarantee the S
^{3}
ONC admits FPTAS.

Original language | English (US) |
---|---|

Pages (from-to) | 207-240 |

Number of pages | 34 |

Journal | Mathematical Programming |

Volume | 166 |

Issue number | 1-2 |

DOIs | |

State | Published - Nov 1 2017 |

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### All Science Journal Classification (ASJC) codes

- Software
- Mathematics(all)

### Cite this

*Mathematical Programming*,

*166*(1-2), 207-240. https://doi.org/10.1007/s10107-017-1114-y

}

*Mathematical Programming*, vol. 166, no. 1-2, pp. 207-240. https://doi.org/10.1007/s10107-017-1114-y

**Folded concave penalized sparse linear regression : sparsity, statistical performance, and algorithmic theory for local solutions.** / Liu, Hongcheng; Yao, Tao; Li, Runze; Ye, Yinyu.

Research output: Contribution to journal › Article

TY - JOUR

T1 - Folded concave penalized sparse linear regression

T2 - sparsity, statistical performance, and algorithmic theory for local solutions

AU - Liu, Hongcheng

AU - Yao, Tao

AU - Li, Runze

AU - Ye, Yinyu

PY - 2017/11/1

Y1 - 2017/11/1

N2 - This paper concerns the folded concave penalized sparse linear regression (FCPSLR), a class of popular sparse recovery methods. Although FCPSLR yields desirable recovery performance when solved globally, computing a global solution is NP-complete. Despite some existing statistical performance analyses on local minimizers or on specific FCPSLR-based learning algorithms, it still remains open questions whether local solutions that are known to admit fully polynomial-time approximation schemes (FPTAS) may already be sufficient to ensure the statistical performance, and whether that statistical performance can be non-contingent on the specific designs of computing procedures. To address the questions, this paper presents the following threefold results: (1) Any local solution (stationary point) is a sparse estimator, under some conditions on the parameters of the folded concave penalties. (2) Perhaps more importantly, any local solution satisfying a significant subspace second-order necessary condition (S 3 ONC), which is weaker than the second-order KKT condition, yields a bounded error in approximating the true parameter with high probability. In addition, if the minimal signal strength is sufficient, the S 3 ONC solution likely recovers the oracle solution. This result also explicates that the goal of improving the statistical performance is consistent with the optimization criteria of minimizing the suboptimality gap in solving the non-convex programming formulation of FCPSLR. (3) We apply (2) to the special case of FCPSLR with minimax concave penalty and show that under the restricted eigenvalue condition, any S 3 ONC solution with a better objective value than the Lasso solution entails the strong oracle property. In addition, such a solution generates a model error (ME) comparable to the optimal but exponential-time sparse estimator given a sufficient sample size, while the worst-case ME is comparable to the Lasso in general. Furthermore, to guarantee the S 3 ONC admits FPTAS.

AB - This paper concerns the folded concave penalized sparse linear regression (FCPSLR), a class of popular sparse recovery methods. Although FCPSLR yields desirable recovery performance when solved globally, computing a global solution is NP-complete. Despite some existing statistical performance analyses on local minimizers or on specific FCPSLR-based learning algorithms, it still remains open questions whether local solutions that are known to admit fully polynomial-time approximation schemes (FPTAS) may already be sufficient to ensure the statistical performance, and whether that statistical performance can be non-contingent on the specific designs of computing procedures. To address the questions, this paper presents the following threefold results: (1) Any local solution (stationary point) is a sparse estimator, under some conditions on the parameters of the folded concave penalties. (2) Perhaps more importantly, any local solution satisfying a significant subspace second-order necessary condition (S 3 ONC), which is weaker than the second-order KKT condition, yields a bounded error in approximating the true parameter with high probability. In addition, if the minimal signal strength is sufficient, the S 3 ONC solution likely recovers the oracle solution. This result also explicates that the goal of improving the statistical performance is consistent with the optimization criteria of minimizing the suboptimality gap in solving the non-convex programming formulation of FCPSLR. (3) We apply (2) to the special case of FCPSLR with minimax concave penalty and show that under the restricted eigenvalue condition, any S 3 ONC solution with a better objective value than the Lasso solution entails the strong oracle property. In addition, such a solution generates a model error (ME) comparable to the optimal but exponential-time sparse estimator given a sufficient sample size, while the worst-case ME is comparable to the Lasso in general. Furthermore, to guarantee the S 3 ONC admits FPTAS.

UR - http://www.scopus.com/inward/record.url?scp=85012224302&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85012224302&partnerID=8YFLogxK

U2 - 10.1007/s10107-017-1114-y

DO - 10.1007/s10107-017-1114-y

M3 - Article

C2 - 29225375

AN - SCOPUS:85012224302

VL - 166

SP - 207

EP - 240

JO - Mathematical Programming

JF - Mathematical Programming

SN - 0025-5610

IS - 1-2

ER -