A Fast, Principled Working Set Algorithm for Exploiting Piecewise Linear Structure in Convex Problems
arXiv: Machine Learning, Volume abs/1807.08046, 2018.
By reducing optimization to a sequence of smaller subproblems, working set algorithms achieve fast convergence times for many machine learning problems. Despite such performance, working set implementations often resort to heuristics to determine subproblem size, makeup, and stopping criteria. We propose BlitzWS, a working set algorithm...More
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