Truncated L-1 regularization [2] is one type of approximation to the original L-0 regularization, and it admits the hard thresholding operator. Thus we consider the truncated L-1 regularization for variable selection and estimation in the high-dimensional and sparse logistic regression models. Computationally, motivated by the KKT conditions of the truncated L-1 regularized problem, we propose a primal and dual active set algorithm (PDAS). In PDAS, it first distinguishes the active sets with small size through the primal and dual variables in the previous iteration, then the primal variable is updated by the maximum likelihood estimation limited to the active set and the dual variable is updated explicitly based on the gradient information. Further, we consider a sequential PDAS (SPDAS) with a warm-start and continual strategy. Numerous simulation studies illustrate the effectiveness of the proposed method, and the application is also demonstrate by analysing some binary classification data sets.
基金:
National Key Research and Development Program of China [2020YFA0714200]; NSFC [12125103, 12071362, 81873793]; Natural Science Foundation of Hubei Province [2021AAA010, 2019CFA007]
语种:
外文
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中科院(CAS)分区:
出版当年[2022]版:
大类|4 区工程技术
小类|4 区运筹学与管理科学4 区数学跨学科应用4 区工程:综合
最新[2025]版:
大类|4 区工程技术
小类|4 区工程:综合4 区数学跨学科应用4 区运筹学与管理科学
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出版当年[2021]版:
Q3MATHEMATICS, INTERDISCIPLINARY APPLICATIONSQ4ENGINEERING, MULTIDISCIPLINARYQ4OPERATIONS RESEARCH & MANAGEMENT SCIENCE
最新[2023]版:
Q3ENGINEERING, MULTIDISCIPLINARYQ3MATHEMATICS, INTERDISCIPLINARY APPLICATIONSQ4OPERATIONS RESEARCH & MANAGEMENT SCIENCE
第一作者单位:[1]Wuhan Univ, Sch Math & Stat, Wuhan 430072, Hubei, Peoples R China[2]Duke NUS Med Sch, Ctr Quantitat Med, Singapore 169857, Singapore
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推荐引用方式(GB/T 7714):
Kang Lican,Luo Yuan,Yang Jerry Zhijian,et al.A PRIMAL AND DUAL ACTIVE SET ALGORITHM FOR TRUNCATED L1 REGULARIZED LOGISTIC REGRESSION[J].JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION.2023,19(4):2452-2463.doi:10.3934/jimo.2022050.
APA:
Kang, Lican,Luo, Yuan,Yang, Jerry Zhijian&Zhu, Chang.(2023).A PRIMAL AND DUAL ACTIVE SET ALGORITHM FOR TRUNCATED L1 REGULARIZED LOGISTIC REGRESSION.JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION,19,(4)
MLA:
Kang, Lican,et al."A PRIMAL AND DUAL ACTIVE SET ALGORITHM FOR TRUNCATED L1 REGULARIZED LOGISTIC REGRESSION".JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION 19..4(2023):2452-2463