Borui Tang

Junxian Zhu, Jin Zhu, Borui Tang et al.

In high-dimensional generalized linear models, it is crucial to identify a sparse model that adequately accounts for response variation. Although the best subset section has been widely regarded as the Holy Grail of problems of this type, achieving either computational efficiency or statistical guarantees is challenging. In this article, we intend to surmount this obstacle by utilizing a fast algorithm to select the best subset with high certainty. We proposed and illustrated an algorithm for best subset recovery in regularity conditions. Under mild conditions, the computational complexity of our algorithm scales polynomially with sample size and dimension. In addition to demonstrating the statistical properties of our method, extensive numerical experiments reveal that it outperforms existing methods for variable selection and coefficient estimation. The runtime analysis shows that our implementation achieves approximately a fourfold speedup compared to popular variable selection toolkits like glmnet and ncvreg.

Borui Tang, Jin Zhu, Junxian Zhu et al.

Analysis of high-dimensional data has led to increased interest in both single index models (SIMs) and the best-subset selection. SIMs provide an interpretable and flexible modeling framework for high-dimensional data, while the best-subset selection aims to find a sparse model from a large set of predictors. However, the best-subset selection in high-dimensional models is known to be computationally intractable. Existing proxy algorithms are appealing but do not yield the bestsubset solution. In this paper, we directly tackle the intractability by proposing a provably scalable algorithm for the best-subset selection in high-dimensional SIMs. We directly proved the subset selection consistency and oracle property for our algorithmic solution, distinguishing it from other state-of-the-art support recovery methods in SIMs. The algorithm comprises a generalized information criterion to determine the support size of the regression coefficients, eliminating the model selection tuning. Moreover, our method does not assume an error distribution or a specific link function and hence is flexible to apply. Extensive simulation results demonstrate that our method is not only computationally efficient but also able to exactly recover the best subset in various settings (e.g., linear regression, Poisson regression, heteroscedastic models).

Zezhi Wang, Jin Zhu, Junxian Zhu et al.

Sparsity-constraint optimization has wide applicability in signal processing, statistics, and machine learning. Existing fast algorithms must burdensomely tune parameters, such as the step size or the implementation of precise stop criteria, which may be challenging to determine in practice. To address this issue, we develop an algorithm named Sparsity-Constraint Optimization via sPlicing itEration (SCOPE) to optimize nonlinear differential objective functions with strong convexity and smoothness in low dimensional subspaces. Algorithmically, the SCOPE algorithm converges effectively without tuning parameters. Theoretically, SCOPE has a linear convergence rate and converges to a solution that recovers the true support set when it correctly specifies the sparsity. We also develop parallel theoretical results without restricted-isometry-property-type conditions. We apply SCOPE's versatility and power to solve sparse quadratic optimization, learn sparse classifiers, and recover sparse Markov networks for binary variables. The numerical results on these specific tasks reveal that SCOPE perfectly identifies the true support set with a 10--1000 speedup over the standard exact solver, confirming SCOPE's algorithmic and theoretical merits. Our open-source Python package skscope based on C++ implementation is publicly available on GitHub, reaching a ten-fold speedup on the competing convex relaxation methods implemented by the cvxpy library.