A Survey of Some Nonsmooth Equations and Smoothing Newton Methods

A Semismooth Newton Algorithm for High-Dimensional Nonconvex Sparse Learning

The smoothly clipped absolute deviation (SCAD) and the minimax concave penalty (MCP)-penalized regression models are two important and widely used nonconvex sparse learning tools that can handle variable selection and parameter estimation simultaneously and thus have potential applications in various fields, such as mining biological data in high-throughput biomedical studies. Theoretically, these two models enjoy the oracle property even in the high-dimensional settings, where the number of predictors p may be much larger than the number of observations n . However, numerically, it is quite challenging to develop fast and stable algorithms due to their nonconvexity and nonsmoothness. In this article, we develop a fast algorithm for SCAD- and MCP-penalized learning problems. First, we show that the global minimizers of both models are roots of the nonsmooth equations. Then, a semismooth Newton (SSN) algorithm is employed to solve the equations. We prove that the SSN algorithm converges locally and superlinearly to the Karush-Kuhn-Tucker (KKT) points. The computational complexity analysis shows that the cost of the SSN algorithm per iteration is O(np) . Combined with the warm-start technique, the SSN algorithm can be very efficient and accurate. Simulation studies and a real data example suggest that our SSN algorithm, with comparable solution accuracy with the coordinate descent (CD) and the difference of convex (DC) proximal Newton algorithms, is more computationally efficient.

Optimizing Top- Multiclass SVM via Semismooth Newton Algorithm

Top- performance has recently received increasing attention in large data categories. Advances, like a top- multiclass support vector machine (SVM), have consistently improved the top- accuracy. However, the key ingredient in the state-of-the-art optimization scheme based upon stochastic dual coordinate ascent relies on the sorting method, which yields complexity. In this paper, we leverage the semismoothness of the problem and propose an optimized top- multiclass SVM algorithm, which employs semismooth Newton algorithm for the key building block to improve the training speed. Our method enjoys a local superlinear convergence rate in theory. In practice, experimental results confirm the validity. Our algorithm is four times faster than the existing method in large synthetic problems; Moreover, on real-world data sets it also shows significant improvement in training time.

Robust Model Fitting Using Higher Than Minimal Subset Sampling

Identifying the underlying model in a set of data contaminated by noise and outliers is a fundamental task in computer vision. The cost function associated with such tasks is often highly complex, hence in most cases only an approximate solution is obtained by evaluating the cost function on discrete locations in the parameter (hypothesis) space. To be successful at least one hypothesis has to be in the vicinity of the solution. Due to noise hypotheses generated by minimal subsets can be far from the underlying model, even when the samples are from the said structure. In this paper we investigate the feasibility of using higher than minimal subset sampling for hypothesis generation. Our empirical studies showed that increasing the sample size beyond minimal size ( p ), in particular up to p+2, will significantly increase the probability of generating a hypothesis closer to the true model when subsets are selected from inliers. On the other hand, the probability of selecting an all inlier sample rapidly decreases with the sample size, making direct extension of existing methods unfeasible. Hence, we propose a new computationally tractable method for robust model fitting that uses higher than minimal subsets. Here, one starts from an arbitrary hypothesis (which does not need to be in the vicinity of the solution) and moves until either a structure in data is found or the process is re-initialized. The method also has the ability to identify when the algorithm has reached a hypothesis with adequate accuracy and stops appropriately, thereby saving computational time. The experimental analysis carried out using synthetic and real data shows that the proposed method is both accurate and efficient compared to the state-of-the-art robust model fitting techniques.