Github user debasish83 commented on the pull request:
https://github.com/apache/spark/pull/2096#issuecomment-78499487
@fjiang6 in breeze we added ADMM based proximal minimizer and a proximal
algorithm for Huber Loss...Could you please take a look at
breeze.optimize.proximal.NonlinearMinimizer and Proximal.ProximalHuber and see
if you can use NonlinearMinimizer ? Huber is as difficult as L1 (perhaps more
difficult) since I have not seen a projection operator for Huber...For
reference please follow Professor Boyd's paper on ADMM and Proximal Algorithms
The jar is available on 0.12-SNAPSHOTS
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