Subspace Newton method for sparse group $$\ell _0$$ optimization problem

Abstract

This paper investigates sparse optimization problems characterized by a sparse group structure, where element- and group-level sparsity are jointly taken into account. This particular optimization model has exhibited notable efficacy in tasks such as feature selection, parameter estimation, and the advancement of model interpretability. Central to our study is the scrutiny of the \(\ell _0\) and \(\ell _{2,0}\) norm regularization model, which, in comparison to alternative surrogate formulations, presents formidable computational challenges. We embark on our study by conducting the analysis of the optimality conditions of the sparse group optimization problem, leveraging the notion of a \(\gamma \)-stationary point, whose linkage to local and global minimizer is established. In a subsequent facet of our study, we develop a novel subspace Newton algorithm for sparse group \(\ell _0\) optimization problem and prove its global convergence property as well as local second-order convergence rate. Experimental results reveal the superlative performance of our algorithm in terms of both precision and computational expediency, thereby outperforming several state-of-the-art solvers.