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https://issues.apache.org/jira/browse/SPARK-1503?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Xiangrui Meng reassigned SPARK-1503:
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Assignee: Xiangrui Meng
> 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: 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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