Although the neuroimaging measures build a bridge between genetic variants and disease phenotypes, an assessment of single nucleotide variants changes in brain structure and their clinically influence on the progression of Alzheimer's disease remain largely preliminary. Note that each variant has very weak correlation signal to neuroimaging measures or Alzheimer's disease phenotypes. Therefore, traditional sparse regression-based image genetics approaches confront with unresolvable features, relative high regression error or inapplicability of high-dimensional data. Adopting an <italic><inline-formula><tex-math notation="LaTeX">$\text{L}_0$</tex-math></inline-formula></italic> regularization method, we significantly elevate the regression accuracy of imaging genetics compared with group-sparse multitask regression method. With further analysis on the simulation results, we conclude that multiple regression tasks model may be unsuitable for image genetics. In addition, we carried out a whole genome association analysis between genetic variants (about 388 million loci) and phenotypes (cognition normal, mild cognitive impairment and Alzheimer's disease) with using the <italic><inline-formula><tex-math notation="LaTeX">$\text{L}_0$</tex-math></inline-formula></italic> regularization method. After annotating the effect of all variants by Ensembl Variant Effect Predictor (VEP), our method locates 33 missense variants which can explain 40% phenotype variance. Then, we mapped each missense variant to the nearest gene and carried out pathway enrichment analysis. The Notch signaling pathway and Apoptosis pathway have been reported to be related to the formation of Alzheimer's disease.