Variable and model selection problems are fundamental to high-dimensional statistical modeling in diverse fields of sciences. Especially in health studies, many potential factors are usually introduced to determine an outcome variable. This paper deals with the problem of high-dimensional...

This paper considers a class of feature selecting support vector machines (SVMs) based on Lq-norm regularization, where q∈(0,1). The standard SVM [Vapnik, V., 1995. The Nature of Statistical Learning Theory. Springer, NY.] minimizes the hinge loss function subject to the L2-norm penalty....