Support recovery without incoherence: A case for nonconvex regularization (1412.5632v1)

Abstract: We demonstrate that the primal-dual witness proof method may be used to establish variable selection consistency and $\ell_\infty$-bounds for sparse regression problems, even when the loss function and/or regularizer are nonconvex. Using this method, we derive two theorems concerning support recovery and $\ell_\infty$-guarantees for the regression estimator in a general setting. Our results provide rigorous theoretical justification for the use of nonconvex regularization: For certain nonconvex regularizers with vanishing derivative away from the origin, support recovery consistency may be guaranteed without requiring the typical incoherence conditions present in $\ell_1$-based methods. We then derive several corollaries that illustrate the wide applicability of our method to analyzing composite objective functions involving losses such as least squares, nonconvex modified least squares for errors-in variables linear regression, the negative log likelihood for generalized linear models, and the graphical Lasso. We conclude with empirical studies to corroborate our theoretical predictions.

Support Recovery without Incoherence: A Case for Nonconvex Regularization

The paper by Po-Ling Loh and Martin J. Wainwright explores the conditions under which nonconvex regularization can be effectively utilized in support recovery for sparse regression problems, specifically when the common incoherence conditions required for convex regularization are absent. The authors use the primal-dual witness proof method to establish theoretical guarantees for variable selection consistency and $\ell_\infty$-bounds with nonconvex regularizers.

Key Results

The central contribution of this paper is the theoretical framework that justifies the application of nonconvex regularizers in sparse regression without needing the typical incoherence conditions required by $\ell_1$-based methods. Two theorems form the cornerstone of their results:

• Theorem 1: This theorem provides sufficient conditions for support recovery in estimation problems using nonconvex penalties. The theorem demonstrates that if the regularization parameters $\lambda$ and $R$ are chosen appropriately, and strict dual feasibility is maintained, then the primal-dual witness method can produce a unique stationary point which aligns with the true support of the regression parameter vector.
• Theorem 2: This theorem explores the $\ell_\infty$-bounds for the error between the true parameter vector and the estimator. It indicates that under specific signal strength conditions, the estimator not only confirms support recovery but also matches the oracle properties, yielding an optimal error bound.

Implications and Applications

The theoretical justification and support for nonconvex penalties offered by this paper alleviate some of the limitations inherent in $\ell_1$-regularization techniques, which require incoherence conditions that are often too stringent in practical settings. Nonconvex penalties such as SCAD (Smoothly Clipped Absolute Deviation) and MCP (Minimax Concave Penalty) can now be employed with strengthened confidence in scenarios where these incoherence conditions do not hold, paving the way for broader applicability in high-dimensional statistical modeling.

Empirical Validations

The paper supplements its theoretical contributions with empirical studies that demonstrate the consistent performance gains of nonconvex regularizers over $\ell_1$-regularization methods. Simulations highlight cases in linear regression setups—both ordinary least squares and scenarios with corrupted covariates—as well as in generalized linear models and graphical Lasso. These numerical studies corroborate the theoretical predictions, showcasing effective support recovery and improved accuracy in parameter estimation under relaxed assumptions.

Future Directions

The implications of these results suggest several avenues for further research. An exploration into the conditions under which the inequality $\mu < 2\alpha_1$ might be relaxed without losing the uniqueness of stationary points could provide deeper insights. Additionally, the development of computational tools for empirically determining RSC constants would enhance practical applications of nonconvex regularization. Finally, extending the framework to incorporate optimization strategies that exploit local RSC conditions could address a broader class of nonconvex problems in high-dimensional data analysis.

Overall, the paper makes a substantial contribution to the field by advancing the theory of nonconvex regularization in support recovery, offering both comprehensive theoretical analysis and empirical validation. The removal of incoherence requirements opens new possibilities for deploying sparse learning techniques in complex, high-dimensional applications.