Strong NP-Hardness for Sparse Optimization with Concave Penalty Functions

Yichen Chen, Dongdong Ge, Mengdi Wang, Zizhuo Wang, Yinyu Ye, Hao Yin

Abstract: Consider the regularized sparse minimization problem, which involves empirical sums of loss functions for $n$ data points (each of dimension $d$) and a nonconvex sparsity penalty. We prove that fin...