Piecewise Linearity of Min-Norm Solution Map of a Nonconvexly Regularized Convex Sparse Model

Abstract: It is well known that the minimum $\ell_2$-norm solution of the convex LASSO model, say $\mathbf{x}{\star}$, is a continuous piecewise linear function of the regularization parameter $\lambda$, and its signed sparsity pattern is constant within each linear piece. The current study is an extension of this classic result, proving that the aforementioned properties extend to the min-norm solution map $\mathbf{x}{\star}(\mathbf{y},\lambda)$, where $\mathbf{y}$ is the observed signal, for a generalization of LASSO termed the scaled generalized minimax concave (sGMC) model. The sGMC model adopts a nonconvex debiased variant of the $\ell_1$-norm as sparse regularizer, but its objective function is overall-convex. Based on the geometric properties of $\mathbf{x}{\star}(\mathbf{y},\lambda)$, we propose an extension of the least angle regression (LARS) algorithm, which iteratively computes the closed-form expression of $\mathbf{x}{\star}(\mathbf{y},\lambda)$ in each linear zone. Under suitable conditions, the proposed algorithm provably obtains the whole solution map $\mathbf{x}{\star}(\mathbf{y},\lambda)$ within finite iterations. Notably, our proof techniques for establishing continuity and piecewise linearity of $\mathbf{x}{\star}(\mathbf{y},\lambda)$ are novel, and they lead to two side contributions: (a) our proofs establish continuity of the sGMC solution set as a set-valued mapping of $(\mathbf{y},\lambda)$; (b) to prove piecewise linearity and piecewise constant sparsity pattern of $\mathbf{x}{\star}(\mathbf{y},\lambda)$, we do not require any assumption that previous work relies on (whereas to prove some additional properties of $\mathbf{x}{\star}(\mathbf{y},\lambda)$, we use a different set of assumptions from previous work).