Communication-Efficient l_0 Penalized Least Square

In this paper, we propose a communication-efficient penalized regression algorithm for high-dimensional sparse linear regression models with massive data. This approach incorporates an optimized distributed system communication algorithm, named CESDAR algorithm, based on the Enhanced Support Detection and Root finding algorithm. The CESDAR algorithm leverages data distributed across multiple machines to compute and update the active set and introduces the communication-efficient surrogate likelihood framework to approximate the optimal solution for the full sample on the active set, resulting in the avoidance of raw data transmission, which enhances privacy and data security, while significantly improving algorithm execution speed and substantially reducing communication costs. Notably, this approach achieves the same statistical accuracy as the global estimator. Furthermore, this paper explores an extended version of CESDAR and an adaptive version of CESDAR to enhance algorithmic speed and optimize parameter selection, respectively. Simulations and real data benchmarks experiments demonstrate the efficiency and accuracy of the CESDAR algorithm.