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Training L1-Regularized Models with Orthant-Wise Passive Descent Algorithms
[article]
2018
arXiv
pre-print
The L_1-regularized models are widely used for sparse regression or classification tasks. In this paper, we propose the orthant-wise passive descent algorithm (OPDA) for optimizing L_1-regularized models, as an improved substitute of proximal algorithms, which are the standard tools for optimizing the models nowadays. OPDA uses a stochastic variance-reduced gradient (SVRG) to initialize the descent direction, then apply a novel alignment operator to encourage each element keeping the same sign
arXiv:1704.07987v3
fatcat:bp5f4tmyubg53gvf5ilj3dx2tu