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https://issues.apache.org/jira/browse/SPARK-2426?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=14191997#comment-14191997
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Debasish Das commented on SPARK-2426:
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Matlab comparisons of MOSEK, ECOS, PDCO and ADMM are over here:
https://github.com/debasish83/ecos/blob/master/README.md
MOSEK is available for research purposes. Let me know if there are issues in
running the matlab scripts.
> Quadratic Minimization for MLlib ALS
> ------------------------------------
>
> Key: SPARK-2426
> URL: https://issues.apache.org/jira/browse/SPARK-2426
> Project: Spark
> Issue Type: New Feature
> Components: MLlib
> Affects Versions: 1.0.0
> Reporter: Debasish Das
> Assignee: Debasish Das
> Original Estimate: 504h
> Remaining Estimate: 504h
>
> Current ALS supports least squares and nonnegative least squares.
> I presented ADMM and IPM based Quadratic Minimization solvers to be used for
> the following ALS problems:
> 1. ALS with bounds
> 2. ALS with L1 regularization
> 3. ALS with Equality constraint and bounds
> Initial runtime comparisons are presented at Spark Summit.
> http://spark-summit.org/2014/talk/quadratic-programing-solver-for-non-negative-matrix-factorization-with-spark
> Based on Xiangrui's feedback I am currently comparing the ADMM based
> Quadratic Minimization solvers with IPM based QpSolvers and the default
> ALS/NNLS. I will keep updating the runtime comparison results.
> For integration the detailed plan is as follows:
> 1. Add QuadraticMinimizer and Proximal algorithms in mllib.optimization
> 2. Integrate QuadraticMinimizer in mllib ALS
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