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

["Kai Sasaki (JIRA)" <ji...@apache.org>]

    [ https://issues.apache.org/jira/browse/SPARK-1503?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=14610018#comment-14610018 ] 

Kai Sasaki commented on SPARK-1503:
-----------------------------------

[~staple] [~josephkb] Thank you for pinging and inspiring information! I'll rewrite current patch based on your logic and codes. Thanks a lot.


> 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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