Fully Polynomial-Time Randomized Approximation Schemes for Global Optimization of High-Dimensional Folded Concave Penalized Generalized Linear Models

no code implementations • 25 Sep 2019 • Charles Hernandez, HungYi Lee, Hongchen Liu

Global solutions to high-dimensional sparse estimation problems with a folded concave penalty (FCP) have been shown to be statistically desirable but are strongly NP-hard to compute, which implies the non-existence of a pseudo-polynomial time global optimization schemes in the worst case.