On Regularized Sparse Logistic Regression

Abstract

Sparse logistic regression is for classification and feature selection simultaneously. Although many studies have been done to solve _1-regularized logistic regression, there is no equivalently abundant work on solving sparse logistic regression with nonconvex regularization term. In this paper, we propose a unified framework to solve _1-regularized logistic regression, which can be naturally extended to nonconvex regularization term, as long as certain requirement is satisfied. In addition, we also utilize a different line search criteria to guarantee monotone convergence for various regularization terms. Empirical experiments on binary classification tasks with real-world datasets demonstrate our proposed algorithms are capable of performing classification and feature selection effectively at a lower computational cost.

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Reproductions