The smoothly clipped absolute deviation (SCAD) and the minimax concave penalty (MCP) penalized regression models are two important and widely used nonconvex sparse learning tools that can handle variable selection and parameter estimation simultaneously, and thus have potential applications in various fields such as mining biological data in high-throughput biomedical studies. Theoretically, these two models enjoy the oracle property even in the high-dimensional settings, where the number of predictors p may be much larger than the number of observations n. However, numerically, it is quite challenging to develop fast and stable algorithms due to their non-convexity and non-smoothness. In this paper we develop a fast algorithm for SCAD and MCP penalized learning problems. First, we show that the global minimizers of both models are roots of the nonsmooth equations. Then, a semi-smooth Newton (SSN) algorithm is employed to solve the equations. We prove that the SSN algorithm converges locally and superlinearly to the Karush-Kuhn-Tucker (KKT) points. Computational complexity analysis shows that the cost of the SSN algorithm per iteration is O(np). Combined with the warm-start technique, the SSN algorithm can be very efficient and accurate. Simulation studies and a real data example suggest that our SSN algorithm, with comparable solution accuracy with the coordinate descent (CD) and the difference of convex (DC) proximal Newton algorithms, is more computationally efficient.

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To date, thousands of genetic variants to be associated with numerous human traits and diseases have been identified by genome‐wide association studies (GWASs). The GWASs focus on testing the association between single trait and genetic variants. However, the analysis of multiple traits and single nucleotide polymorphisms (SNPs) might reflect physiological process of complex diseases and the corresponding study is called pleiotropy association analysis. Modern day GWASs report only summary statistics instead of individual‐level phenotype and genotype data to avoid logistical and privacy issues. Existing methods for combining multiple phenotypes GWAS summary statistics mainly focus on low‐dimensional phenotypes while lose power in high‐dimensional cases. To overcome this defect, we propose two kinds of truncated tests to combine multiple phenotypes summary statistics. Extensive simulations show that the proposed methods are robust and powerful when the dimension of the phenotypes is high and only part of the phenotypes are associated with the SNPs. We apply the proposed methods to blood cytokines data collected from Finnish population. Results show that the proposed tests can identify additional genetic markers that are missed by single trait analysis.