empirical riskminimization – Optimization Online

A Distributed Quasi-Newton Algorithm for Primal and Dual Regularized Empirical Risk Minimization

Published: 2019/12/12, Updated: 2019/12/17

Nonsmooth Optimization, Parallel Algorithms distributed optimization, empirical riskminimization, inexact method, nonsmooth optimization, proximal method, quasi-newton methods, regularized optimization, variable metrics

We propose a communication- and computation-efficient distributed optimization algorithm using second-order information for solving empirical risk minimization (ERM) problems with a nonsmooth regularization term. Our algorithm is applicable to both the primal and the dual ERM problem. Current second-order and quasi-Newton methods for this problem either do not work well in the distributed setting or … Read more