Yaru Fan

Yaru Fan, Yilun Wang, Tingzhu Huang

Joint sparsity has attracted considerable attention in recent years in many fields including sparse signal recovery in compressed sensing (CS), statistics, and machine learning. Traditional convex models suffer from the suboptimal performance though enjoying tractable computation. In this paper, we propose a new non-convex joint sparsity model, and develop a corresponding multi-stage adaptive convex relaxation algorithm. This method extends the idea of iterative support detection (ISD) from the single vector estimation to the multi-vector estimation by considering the joint sparsity prior. We provide some preliminary theoretical analysis including convergence analysis and a sufficient recovery condition. Numerical experiments from both compressive sensing and feature learning show the better performance of the proposed method in comparison with several state-of-the-art alternatives. Moreover, we demonstrate that the extension of ISD from the single vector to multi-vector estimation is not trivial. In particular, while ISD does not work well for reconstructing the signal channel sparse Bernoulli signal, it does achieve significantly improved performance when recovering the multi-channel sparse Bernoulli signal thanks to its ability of natural incorporation of the joint sparsity structure.

Yaru Fan, Yilun Wang

Multi-task feature learning aims to identity the shared features among tasks to improve generalization. It has been shown that by minimizing non-convex learning models, a better solution than the convex alternatives can be obtained. Therefore, a non-convex model based on the capped-$\ell_{1},\ell_{1}$ regularization was proposed in \cite{Gong2013}, and a corresponding efficient multi-stage multi-task feature learning algorithm (MSMTFL) was presented. However, this algorithm harnesses a prescribed fixed threshold in the definition of the capped-$\ell_{1},\ell_{1}$ regularization and the lack of adaptivity might result in suboptimal performance. In this paper we propose to employ an adaptive threshold in the capped-$\ell_{1},\ell_{1}$ regularized formulation, where the corresponding variant of MSMTFL will incorporate an additional component to adaptively determine the threshold value. This variant is expected to achieve a better feature selection performance over the original MSMTFL algorithm. In particular, the embedded adaptive threshold component comes from our previously proposed iterative support detection (ISD) method \cite{Wang2010}. Empirical studies on both synthetic and real-world data sets demonstrate the effectiveness of this new variant over the original MSMTFL.