Structured Sparsity Promoting Functions

Motivated by the minimax concave penalty-based variable selection in high-dimensional linear regression, we introduce a simple scheme to construct structured sparsity promoting functions from convex sparsity promoting functions and their Moreau envelopes. Properties of these functions are developed by leveraging their structure. In particular, we provide sparsity guarantees for the general family of functions. We further study the behavior of the proximity operators of several special functions, including indicator functions of closed and convex sets, piecewise quadratic functions, and linear combinations of the two. To demonstrate these properties, several concrete examples are presented and existing instances are featured as special cases.