piCholesky: Polynomial Interpolation of Multiple Cholesky Factors for Efficient Approximate Cross-Validation

CoRR, 2014.

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EI

Abstract:

The dominant cost in solving least-square problems using Newton's method is often that of factorizing the Hessian matrix over multiple values of the regularization parameter ($\lambda$). We propose an efficient way to interpolate the Cholesky factors of the Hessian matrix computed over a small set of $\lambda$ values. This approximation...More

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