Structured Sparsity Promoting Functions

Abstract: Motivated by the minimax concave penalty based variable selection in high-dimensional linear regression, we introduce a simple scheme to construct structured semiconvex sparsity promoting functions from convex sparsity promoting functions and their Moreau envelopes. Properties of these functions are developed by leveraging their structure. In particular, we provide sparsity guarantees for the general family of functions. We further study the behavior of the proximity operators of several special functions including indicator functions of closed convex sets, piecewise quadratic functions, and the linear combinations of them. To demonstrate these properties, several concrete examples are presented and existing instances are featured as special cases.