Theodore Vasiloudis created FLINK-1965:
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Summary: Implement the Orthant-wise Limited Memory QuasiNewton
optimization algorithm, a variant of L-BFGS that handles L1 regularization
Key: FLINK-1965
URL: https://issues.apache.org/jira/browse/FLINK-1965
Project: Flink
Issue Type: Wish
Components: Machine Learning Library
Reporter: Theodore Vasiloudis
Priority: Minor
The Orthant-wise Limited Memory QuasiNewton (OWL-QN) is a quasi-Newton
optimization method similar to L-BFGS that can handle L1 regularization.
Implementing this would allow us to obtain sparse solutions while at the same
time having the convergence benefits of a quasi-Newton method, when compared to
stochastic gradient descent.
[Link to
paper|http://research.microsoft.com/en-us/downloads/b1eb1016-1738-4bd5-83a9-370c9d498a03/]
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