Adaptive sieving with semismooth Newton proximal augmented Lagrangian algorithm for multi-task Lasso problems

Abstract: Multi-task learning enhances model generalization by jointly learning from related tasks. This paper focuses on the $\ell_{1,\infty}$-norm constrained multi-task learning problem, which promotes a shared feature representation while inducing sparsity in task-specific parameters. We propose an adaptive sieving (AS) strategy to efficiently generate a solution path for multi-task Lasso problems. Each subproblem along the path is solved via an inexact semismooth Newton proximal augmented Lagrangian ({\sc Ssnpal}) algorithm, achieving an asymptotically superlinear convergence rate. By exploiting the Karush-Kuhn-Tucker (KKT) conditions and the inherent sparsity of multi-task Lasso solutions, the {\sc Ssnpal} algorithm solves a sequence of reduced subproblems with small dimensions. This approach enables our method to scale effectively to large problems. Numerical experiments on synthetic and real-world datasets demonstrate the superior efficiency and robustness of our algorithm compared to state-of-the-art solvers.