Complexity of Unconstrained L_2-L_p Minimization
  We consider the unconstrained $L_2$-$L_p$ minimization: find a minimizer of $\|Ax-b\|^2_2+\lambda \|x\|^p_p$ for given $A \in R^{m\times n}$, $b\in R^m$ and parameters $\lambda>0$, $p\in [0,1)$. This problem has been studied extensively in variable selection and sparse least squares fitting for high dimensional data. Theoretical results show that the minimizers of the $L_2$-$L_p$ problem have various attractive features due to the concavity and non-Lipschitzian property of the regularization function $\|\cdot\|^p_p$. In this paper, we show that the $L_q$-$L_p$ minimization problem is strongly NP-hard for any $p\in [0,1)$ and $q\ge 1$, including its smoothed version. On the other hand, we show that, by choosing parameters $(p,\lambda)$ carefully, a minimizer, global or local, will have certain desired sparsity. We believe that these results provide new theoretical insights to the studies and applications of the concave regularized optimization problems. 
Xiaojun Chen, Dongdong Ge, Zizhuo Wang and Yinyu Ye
cs.CC stat.CO