This dissertation explores two application scenarios of sparsity pursuit method on large scale data sets. The first scenario is classification and regression in analyzing high dimensional structured data, where predictors corresponds to nodes of a given directed graph. This arises in, for instance, identification of disease genes for the Parkinson's diseases from a network of candidate genes. In such a situation, directed graph describes dependencies among the genes, where direction of edges represent certain causal effects. Key to high-dimensional structured classification and regression is how to utilize dependencies among predictors as specified by directions of the graph. In this dissertation, we develop a novel method that fully takes into account such dependencies formulated through certain nonlinear constraints. We apply the proposed method to two applications, feature selection in large margin binary classification and in linear regression. We implement the proposed method through difference convex programming for the cost function and constraints. Finally, theoretical and numerical analyses suggest that the proposed method achieves the desired objectives. An application to disease gene identification is presented.The second application scenario is personalized information filtering which extracts the information specifically relevant to a user, predicting his/her preference over a large number of items, based on the opinions of users who think alike or its content. This problem is cast into the framework of regression and classification, where we introduce novel partial latent models to integrate additional user-specific and content-specific predictors, for higher predictive accuracy. In particular, we factorize a user-over-item preference matrix into a product of two matrices, each representing a user's preference and an item preference by users. Then we propose a likelihood method to seek a sparsest latent factorization, from a class of over-complete factorizations, possibly with a high percentage of missing values. This promotes additional sparsity beyond rank reduction. Computationally, we design methods based on a ``decomposition and combination'' strategy, to break large-scale optimization into many small subproblems to solve in a recursive and parallel manner. On this basis, we implement the proposed methods through multi-platform shared-memory parallel programming, and through Mahout, a library for scalable machine learning and data mining, for mapReduce computation. For example, our methods are scalable to a dataset consisting of three billions of observations on a single machine with sufficient memory, having good timings. Both theoretical and numerical investigations show that the proposed methods exhibit significant improvement in accuracy over state-of-the-art scalable methods.