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From Debasish Das <>
Subject ADMM based proximal flow
Date Wed, 01 Apr 2015 03:15:25 GMT

We recently added ADMM based proximal algorithm in
breeze.optimize.proximal.NonlinearMinimizer which uses a combination of
BFGS and proximal algorithms (soft thresholding for L1 for example) to
solve large scale constrained optimization problem of form f(x) + g(z). Its
usage is similar to current lbfgs flow. We also added a library of commonly
used proximal algorithms in breeze.

I am experimenting with L1 but I remember there were various admm based PR
before. Please feel free to use the solver for your usecases and let us
know if it was helpful.

The solver is available in mllib master as we already integrated breeze
0.11.2 to mllib.


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