Title: Nonconvex Statistical Optimization: Algorithm and Model-based Optimization Theory

Abstract: Nonconvex regularized M-estimators have been widely applied to high dimensional data analysis. Existing statisticaltheory has established their statistical properties
in high dimensions only when the global optimum or certain local optimum can be obtained. Though practitioners have proposed numerous heuristic computational algorithms for
solving these nonconvex optimization problems, existing optimization theory does not necessarily guarantee these algorithms to obtain the global or local optima with
desired statistical properties in polynomial time. Therefore, there exists a significant gap between theory and practice: What is actually computed is not the same as what has
been proved. To bridge this gap, we propose a new generation of nonconvex statistical optimization algorithms and model-based theory, which incorporate the statistical thinking
into modern optimization. When developing computational algorithms, we take underlying sparse statistical models into consideration. Particularly, for nonconvex regularized
M-estimation problems, our proposed algorithms devise three different optimization schemes, under which the solutions achieved by the optimization algorithm always falls within
a restricted sparse set. Thus the nonconvex objective function mimics the behavior of a strongly convex function, which eventually allows our proposed algorithms to obtain an
estimator with the desired optimal statistical properties in polynomial time with high probability