Github user debasish83 commented on the pull request:
https://github.com/apache/spark/pull/2705#issuecomment-58862691
@chanda what's your problem formulation?
min x'Hx + c'x
s.t Ax <= B
You can write it as min x'Hx + c'x + g(z)
s.t Ax = B + z
g(z) here is indicator function that z >= 0
Now we can solve this using QuadraticMinimizer.scala...Let me know if this
formulation makes sense and I will point to the rest of the steps to you...
By the way I am working on adding H as sparse matrix but it will take some
time since we need LDL factorization and that's in ECOS code base...Once I make
the ECOS jar available we should be able to use LDL from there...
Is your matrix sparse since you keep sparse kernel for SVM and not all
entries from RBF ?
For now I will say use the dense formulation, partition your kernel matrix
and solve a QP on each worker and then combine the results using treeAggregate
on master...
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