948 research outputs found
Optimization with Sparsity-Inducing Penalties
Sparse estimation methods are aimed at using or obtaining parsimonious
representations of data or models. They were first dedicated to linear variable
selection but numerous extensions have now emerged such as structured sparsity
or kernel selection. It turns out that many of the related estimation problems
can be cast as convex optimization problems by regularizing the empirical risk
with appropriate non-smooth norms. The goal of this paper is to present from a
general perspective optimization tools and techniques dedicated to such
sparsity-inducing penalties. We cover proximal methods, block-coordinate
descent, reweighted -penalized techniques, working-set and homotopy
methods, as well as non-convex formulations and extensions, and provide an
extensive set of experiments to compare various algorithms from a computational
point of view
Hybrid Random/Deterministic Parallel Algorithms for Nonconvex Big Data Optimization
We propose a decomposition framework for the parallel optimization of the sum
of a differentiable {(possibly nonconvex)} function and a nonsmooth (possibly
nonseparable), convex one. The latter term is usually employed to enforce
structure in the solution, typically sparsity. The main contribution of this
work is a novel \emph{parallel, hybrid random/deterministic} decomposition
scheme wherein, at each iteration, a subset of (block) variables is updated at
the same time by minimizing local convex approximations of the original
nonconvex function. To tackle with huge-scale problems, the (block) variables
to be updated are chosen according to a \emph{mixed random and deterministic}
procedure, which captures the advantages of both pure deterministic and random
update-based schemes. Almost sure convergence of the proposed scheme is
established. Numerical results show that on huge-scale problems the proposed
hybrid random/deterministic algorithm outperforms both random and deterministic
schemes.Comment: The order of the authors is alphabetica
CoCoA: A General Framework for Communication-Efficient Distributed Optimization
The scale of modern datasets necessitates the development of efficient
distributed optimization methods for machine learning. We present a
general-purpose framework for distributed computing environments, CoCoA, that
has an efficient communication scheme and is applicable to a wide variety of
problems in machine learning and signal processing. We extend the framework to
cover general non-strongly-convex regularizers, including L1-regularized
problems like lasso, sparse logistic regression, and elastic net
regularization, and show how earlier work can be derived as a special case. We
provide convergence guarantees for the class of convex regularized loss
minimization objectives, leveraging a novel approach in handling
non-strongly-convex regularizers and non-smooth loss functions. The resulting
framework has markedly improved performance over state-of-the-art methods, as
we illustrate with an extensive set of experiments on real distributed
datasets
Practical Inexact Proximal Quasi-Newton Method with Global Complexity Analysis
Recently several methods were proposed for sparse optimization which make
careful use of second-order information [10, 28, 16, 3] to improve local
convergence rates. These methods construct a composite quadratic approximation
using Hessian information, optimize this approximation using a first-order
method, such as coordinate descent and employ a line search to ensure
sufficient descent. Here we propose a general framework, which includes
slightly modified versions of existing algorithms and also a new algorithm,
which uses limited memory BFGS Hessian approximations, and provide a novel
global convergence rate analysis, which covers methods that solve subproblems
via coordinate descent
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