[jira] [Commented] (SPARK-1503) Implement Nesterov's accelerated first-order method

["Aaron Staple (JIRA)" <ji...@apache.org>]

    [ https://issues.apache.org/jira/browse/SPARK-1503?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=14166168#comment-14166168 ] 

Aaron Staple commented on SPARK-1503:
-------------------------------------

Hi, I’d like to try working on this ticket. If you’d like to assign it to me, I can write a short spec and then work on a PR.

> 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
>
> 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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