In this paper we consider high-dimensional multiclass classification by sparse multinomial logistic regression. We propose first a feature selection procedure based on penalized maximum likelihood with a complexity penalty on the model size and derive the nonasymptotic bounds for misclassification excess risk of the resulting classifier. We establish also their tightness by deriving the corresponding minimax lower bounds. In particular, we show that there exist two regimes corresponding to small and large number of classes. The bounds can be reduced under the additional low noise condition. To find a penalized maximum likelihood solution with a complexity penalty requires, however, a combinatorial search over all possible models. To design a feature selection procedure computationally feasible for high-dimensional data, we propose multinomial logistic group Lasso and Slope classifiers and show that they also achieve the minimax order.
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