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From "Aaron Staple (JIRA)" <j...@apache.org>
Subject [jira] [Updated] (SPARK-1503) Implement Nesterov's accelerated first-order method
Date Fri, 06 Mar 2015 20:04:38 GMT

     [ https://issues.apache.org/jira/browse/SPARK-1503?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Aaron Staple updated SPARK-1503:
--------------------------------
    Attachment: logistic_l2.png
                logistic.png
                linear_l1.png
                linear.png

Optimization benchmarks, uploaded 2015-03-06.

> Implement Nesterov's accelerated first-order method
> ---------------------------------------------------
>
>                 Key: SPARK-1503
>                 URL: https://issues.apache.org/jira/browse/SPARK-1503
>             Project: Spark
>          Issue Type: New Feature
>          Components: MLlib
>            Reporter: Xiangrui Meng
>            Assignee: Aaron Staple
>         Attachments: linear.png, linear_l1.png, logistic.png, logistic_l2.png
>
>
> Nesterov's accelerated first-order method is a drop-in replacement for steepest descent
but it converges much faster. We should implement this method and compare its performance
with existing algorithms, including SGD and L-BFGS.
> TFOCS (http://cvxr.com/tfocs/) is a reference implementation of Nesterov's method and
its variants on composite objectives.



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