The cavity method for analysis of large-scale penalized regression

Abstract: Penalized regression methods aim to retrieve reliable predictors among a large set of putative ones from a limited amount of measurements. In particular, penalized regression with singular penalty functions is important for sparse reconstruction algorithms. For large-scale problems, these algorithms exhibit sharp phase transition boundaries where sparse retrieval breaks down. Large optimization problems associated with sparse reconstruction have been analyzed in the literature by setting up corresponding statistical mechanical models at a finite temperature. Using replica method for mean field approximation, and subsequently taking a zero temperature limit, this approach reproduces the algorithmic phase transition boundaries. Unfortunately, the replica trick and the non-trivial zero temperature limit obscure the underlying reasons for the failure of a sparse reconstruction algorithm, and of penalized regression methods, in general. In this paper, we employ the ``cavity method'' to give an alternative derivation of the mean field equations, working directly in the zero-temperature limit. This derivation provides insight into the origin of the different terms in the self-consistency conditions. The cavity method naturally involves a quantity, the average local susceptibility, whose behavior distinguishes different phases in this system. This susceptibility can be generalized for analysis of a broader class of sparse reconstruction algorithms.