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Many practical applications such as gene expression analysis, multitask learning, image recognition, signal processing, and medical data analysis pursue a sparse solution for the feature selection purpose and particularly favor the nonzeros evenly distributed in different groups. The exclusive sparsity norm has been widely used to serve to this purpose. However, it still lacks systematical studies for exclusive sparsity norm optimization. This paper offers two main contributions from the optimization perspective: 1) we provide several efficient algorithms to solve exclusive sparsity norm minimization with either smooth loss or hinge loss (nonsmooth loss). All algorithms achieve the optimal convergence rate $O(1/k^{2})$. ($k$ is the iteration number.) To the best of our knowledge, this is the first time to guarantee such convergence rate for the general exclusive sparsity norm minimization and 2) when the group information is unavailable to define the exclusive sparsity norm, we propose to use the random grouping scheme to construct groups and prove that if the number of groups is appropriately chosen, the nonzeros (true features) would be grouped in the ideal way with high probability. Empirical studies validate the efficiency of the proposed algorithms, and the effectiveness of random grouping scheme on the proposed exclusive support vector machine formulation. [ABSTRACT FROM AUTHOR]