Xiangrui Meng created SPARK-1503:
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Summary: 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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