L1/2 regularization

In this paper we propose an L1 /2 regularizer which has a nonconvex penalty.The L 1/2 regularizer is shown to have many promising properties such as unbiasedness, sparsity and oracle properties.A reweighed iterative algorithm is proposed so that the solution of the L 1/2 regularizer can be solved through transforming it into the solution of a series of L 1 regularizers.The solution of the L 1/2 regularizer is more sparse than that of the L 1 regularizer, while solving the L 1/2 regularizer is much simpler than solving the L 0 regularizer.The experiments show that the L 1/2 regularizer is very useful and efficient, and can be taken as a representative of the Lp(0 < p < 1) regularizer.