Hoai Minh Le

Stochastic DCA for the Large-sum of Non-convex Functions Problem and its Application to Group Variable Selection in Classification

In this paper, we present a stochastic version of DCA (Difference of Convex functions Algorithm) to solve a class of optimization problems whose objective function is a large sum of non-convex functions and a regularization term. We consider the $\ell_{2,0}$ regularization to deal with the group var…