Accelerated Sparse Linear Regression via Random Projection

In this paper, we present an accelerated numerical method based on random projection for sparse linear regression. Previous studies have shown that under appropriate conditions, gradient-based methods enjoy a geometric convergence rate when applied to this problem. However, the time complexity of evaluating the gradient is as large as O(nd), where n is the number of data points and d is the dimensionality, making those methods inefficient for large-scale and highdimensional dataset. To address this limitation, we first utilize random projection to find a rank-k approximator for the data matrix, and reduce the cost of gradient evaluation to O(nk + dk), a significant improvement when k is much smaller than d and n. Then, we solve the sparse linear regression problem via a proximal gradient method with a homotopy strategy to generate sparse intermediate solutions. Theoretical analysis shows that our method also achieves a global geometric convergence rate, and moreover the sparsity of all the intermediate solutions are well-bounded over the iterations. Finally, we conduct experiments to demonstrate the ef- ficiency of the proposed method.

Authors

• Weizhong Zhang Fudan University, Shanghai, China Shanghai Collaborative Innovation Center of Intelligent Visual Computing, China
• Lijun Zhang
• Rong Jin
• Deng Cai Bytedance Seed, China
• Xiaofei He State Key Lab of CAD&CG, Zhejiang University Fabu Inc.

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