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

["Joseph K. Bradley (JIRA)" <ji...@apache.org>]

    [ https://issues.apache.org/jira/browse/SPARK-1503?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=14595226#comment-14595226 ] 

Joseph K. Bradley commented on SPARK-1503:
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[~staple] [~lewuathe] Can you please coordinate about how convergence is measured, as in [SPARK-3382]?  The current implementation for [SPARK-3382] uses relative convergence w.r.t. the weight vector, where it measures relative to the weight vector from the previous iteration.  I figure we should use the same convergence criterion for both accelerated and non-accelerated gradient descent.

> 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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