Adaptive Sieving with PPDNA: Generating Solution Paths of Exclusive Lasso Models

Abstract: The exclusive lasso (also known as elitist lasso) regularization has become popular recently due to its superior performance on structured sparsity. Its complex nature poses difficulties for the computation of high-dimensional machine learning models involving such a regularizer. In this paper, we propose an adaptive sieving (AS) strategy for generating solution paths of machine learning models with the exclusive lasso regularizer, wherein a sequence of reduced problems with much smaller sizes need to be solved. In order to solve these reduced problems, we propose a highly efficient dual Newton method based proximal point algorithm (PPDNA). As important ingredients, we systematically study the proximal mapping of the weighted exclusive lasso regularizer and the corresponding generalized Jacobian. These results also make popular first-order algorithms for solving exclusive lasso models practical. Various numerical experiments for the exclusive lasso models have demonstrated the effectiveness of the AS strategy for generating solution paths and the superior performance of the PPDNA.