Fixed-point and coordinate descent algorithms for regularized kernel methods

In this paper, we study two general classes of optimization algorithms for kernel methods with convex loss function and quadratic norm regularization, and analyze their convergence. The first approach, based on fixed-point iterations, is simple to implement and analyze, and can be easily parallelized. The second, based on coordinate descent, exploits the structure of additively separable loss functions to compute solutions of line searches in closed form. Instances of these general classes of algorithms are already incorporated into state of the art machine learning software for large scale problems. We start from a solution characterization of the regularized problem, obtained using sub-differential calculus and resolvents of monotone operators, that holds for general convex loss functions regardless of differentiability. The two methodologies described in the paper can be regarded as instances of non-linear Jacobi and Gauss-Seidel algorithms, and are both well-suited to solve large scale problems

The representer theorem for Hilbert spaces: a necessary and sufficient condition

A family of regularization functionals is said to admit a linear representer theorem if every member of the family admits minimizers that lie in a fixed finite dimensional subspace. A recent characterization states that a general class of regularization functionals with differentiable regularizer admits a linear representer theorem if and only if the regularization term is a non-decreasing function of the norm. In this report, we improve over such result by replacing the differentiability assumption with lower semi-continuity and deriving a proof that is independent of the dimensionality of the space

Minimization of multi-penalty functionals by alternating iterative thresholding and optimal parameter choices

Inspired by several recent developments in regularization theory, optimization, and signal processing, we present and analyze a numerical approach to multi-penalty regularization in spaces of sparsely represented functions. The sparsity prior is motivated by the largely expected geometrical/structured features of high-dimensional data, which may not be well-represented in the framework of typically more isotropic Hilbert spaces. In this paper, we are particularly interested in regularizers which are able to correctly model and separate the multiple components of additively mixed signals. This situation is rather common as pure signals may be corrupted by additive noise. To this end, we consider a regularization functional composed by a data-fidelity term, where signal and noise are additively mixed, a non-smooth and non-convex sparsity promoting term, and a penalty term to model the noise. We propose and analyze the convergence of an iterative alternating algorithm based on simple iterative thresholding steps to perform the minimization of the functional. By means of this algorithm, we explore the effect of choosing different regularization parameters and penalization norms in terms of the quality of recovering the pure signal and separating it from additive noise. For a given fixed noise level numerical experiments confirm a significant improvement in performance compared to standard one-parameter regularization methods. By using high-dimensional data analysis methods such as Principal Component Analysis, we are able to show the correct geometrical clustering of regularized solutions around the expected solution. Eventually, for the compressive sensing problems considered in our experiments we provide a guideline for a choice of regularization norms and parameters.Comment: 32 page

Reproducing Kernel Banach Spaces with the l1 Norm

Targeting at sparse learning, we construct Banach spaces B of functions on an input space X with the properties that (1) B possesses an l1 norm in the sense that it is isometrically isomorphic to the Banach space of integrable functions on X with respect to the counting measure; (2) point evaluations are continuous linear functionals on B and are representable through a bilinear form with a kernel function; (3) regularized learning schemes on B satisfy the linear representer theorem. Examples of kernel functions admissible for the construction of such spaces are given.Comment: 28 pages, an extra section was adde