Many statistical modeling problems reduce to a minimization problem of the general form:

$$\begin{equation} \mathrm{minimize}\subscript{\boldsymbol{\beta}\in\mathbb{R}^m}\quad f(\mathbf{X}, \boldsymbol{\beta}) + \lambda g(\boldsymbol{\beta}), \end{equation}$$

or

$$% <![CDATA[ \begin{eqnarray} &#038;\mathrm{minimize}\subscript{\boldsymbol{\beta}\in\mathbb{R}^m}\quad f(\mathbf{X}, \boldsymbol{\beta}),\\ &#038;\mathrm{subject\,to}\quad g(\boldsymbol{\beta}) \leq t, \end{eqnarray} %]]&gt;$$

where $f$ is some type of loss function, $\mathbf{X}$ denotes the data, and $g$ is a penalty, also referred to by other names, such as “regularization term” (problems (1) and (2-3) are often equivalent by the way). Of course both, $f$ and $g$, may depend on further parameters.

There are multiple reasons why it can be helpful to check out the contours of such penalty functions $g$:

1. When $\boldsymbol{\beta}$ is two-dimensional, the solution of problem (2-3) can be found by simply taking a look at the contours of $f$ and $g$.
2. That builds intuition for what happens in more than two dimensions, and in other more general cases.
3. From a Bayesian point of view, problem (1) can often be interpreted as an MAP estimator, in which case the contours of $g$ are also contours of the prior distribution of $\boldsymbol{\beta}$.

Therefore, it is meaningful to visualize the set of points that $g$ maps onto the unit ball in $\mathbb{R}^2$, i.e., the set

$$B\subscript{g} := \{ \mathbf{x}\in\mathbb{R}^2 : g(\mathbf{x}) \leq 1 \}.$$

Below you see GIF images of such sets $B\subscript{g}$ for various penalty functions $g$ in 2D, capturing the effect of varying certain parameters in $g$. The covered penalty functions include the family of $p$-norms, the elastic net penalty, the fused penalty, and the sorted $\ell_1$ norm.

:white_check_mark: R code to reproduce the GIFs is provided.

p-norms in 2D

First we consider the $p$-norm,

$$g\subscript{p}(\boldsymbol{\beta}) = \lVert\boldsymbol{\beta}\rVert\subscript{p}^{p} = \lvert\beta\subscript{1}\rvert^p + \lvert\beta\subscript{2}\rvert^p,$$

with a varying parameter $p \in (0, \infty]$ (which actually isn’t a proper norm for $p < 1$). Many statistical methods, such as LASSO and Ridge Regression, employ $p$-norm penalties. To find all $\boldsymbol{\beta}$ on the boundary of the 2D unit $p$-norm ball, given $\beta_1$ (the first entry of $\boldsymbol{\beta}$), $\beta_2$ is easily obtained as

$$\beta_2 = \pm (1-|\beta_1|^p)^{1/p}, \quad \forall\beta_1\in[-1, 1].$$

Elastic net penalty in 2D

The elastic net penalty can be written in the form

$$g\subscript{\alpha}(\boldsymbol{\beta}) = \alpha \lVert \boldsymbol{\beta} \rVert\subscript{1} + (1 - \alpha) \lVert \boldsymbol{\beta} \rVert\subscript{2}^{2},$$

for $\alpha\in(0,1)$. It is quite popular with a variety of regression-based methods (such as the Elastic Net, of course). We obtain the corresponding 2D unit “ball”, by calculating $\beta\subscript{2}$ from a given $\beta\subscript{1}\in[-1,1]$ as

$$\beta\subscript{2} = \pm \frac{-\alpha + \sqrt{\alpha^2 - 4 (1 - \alpha) ((1 - \alpha) \beta\subscript{1}^2 + \alpha \beta\subscript{1} - 1)}}{2 - 2 \alpha}.$$

Fused penalty in 2D

The fused penalty can be written in the form

$$g\subscript{\alpha}(\boldsymbol{\beta}) = \alpha \lVert \boldsymbol{\beta} \rVert\subscript{1} + (1 - \alpha) \sum\subscript{i = 2}^m \lvert \beta\subscript{i} - \beta\subscript{i-1} \rvert.$$

It encourages neighboring coefficients $\beta\subscript{i}$ to have similar values, and is utilized by the fused LASSO and similar methods.

(Here I have simply evaluated the fused penalty function on a grid of points in $[-2,2]^2$, because figuring out equations in parametric form for the above polygons was too painful for my taste… :stuck_out_tongue:)

Sorted L1 penalty in 2D

The Sorted $\ell\subscript{1}$ penalty is used in a number of regression-based methods, such as SLOPE and OSCAR. It has the form

$$g\subscript{\boldsymbol{\lambda}}(\boldsymbol{\beta}) = \sum\subscript{i = 1}^m \lambda\subscript{i} \lvert \beta \rvert\subscript{(i)},$$

where $\lvert \beta \rvert\subscript{(1)} \geq \lvert \beta \rvert\subscript{(2)} \geq \ldots \geq \lvert \beta \rvert\subscript{(m)}$ are the absolute values of the entries of $\boldsymbol{\beta}$ arranged in a decreasing order. In 2D this reduces to

$$g\subscript{\boldsymbol{\lambda}}(\boldsymbol{\beta}) = \lambda\subscript{1} \max\{|\beta\subscript{1}|, |\beta\subscript{2}|\} + \lambda\subscript{2} \min\{|\beta\subscript{1}|, |\beta\subscript{2}|\}.$$

Code

The R code uses the libraries dplyr for data manipulation, ggplot2 for generation of figures, and magick to combine the individual images into a GIF.

Here are the R scripts that can be used to reproduce the above GIFs:

1. p-norms in 2D
2. Elastic net penalty in 2D
3. Fused penalty in 2D
4. Sorted L1 penalty in 2D

Should I come across other interesting penalty functions that make sense in 2D, then I will add corresponding further visualizations to the same Github repository.

This work is licensed under a Creative Commons Attribution 4.0 International License.