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Gradient Projection Iterative Sketch for Large-Scale Constrained
Least-Squares
release_u3hyxgym25gdze3yoevrajbbpm
by
Junqi Tang, Mohammad Golbabaee, Mike Davies
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2017
Abstract
We propose a randomized first order optimization algorithm Gradient
Projection Iterative Sketch (GPIS) and an accelerated variant for efficiently
solving large scale constrained Least Squares (LS). We provide theoretical
convergence analysis for both proposed algorithms and demonstrate our methods'
computational efficiency compared to classical accelerated gradient method, and
the state of the art variance-reduced stochastic gradient methods through
numerical experiments in various large synthetic/real data sets.
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1609.09419v3
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