Sparse Convexification for High-Dimensional Constrained Regression

Abstract

We study high-dimensional linear regression under a general symmetric convex constraint. Rather than imposing a specific sparsity-inducing penalty, we start from an arbitrary sign-symmetric and permutation-invariant convex body $K\subseteq {\mathbb{R}}^p$ and construct the sparse convexification hierarchy \[ K^{(s)} = \operatorname{conv}\{v\in K:\|v\|_0\le s\}. \] We propose a penalized least-squares estimator that searches over this hierarchy and adapts to the best sparse convex approximation of the target. Under standard sub-Gaussian assumptions on the random design and noise, we prove an oracle inequality showing that the estimator adapts to the best sparse convex approximation of the target. For an $s$-sparse target, the result yields a squared-error rate governed by the noise level $\sigma$, and the Gaussian width of the sparse convexification $K^{(s)}$. The method applies broadly to symmetric norm balls and can be implemented using oracle access to the Minkowski functional of $K$. As a special case, the framework yields a consistency result for the constrained Lasso.

included important references; fixed an assumption in the minimax optimal theorem; fixed typos