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Questions tagged [coordinate-descent]

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How to exploit existing closed-form update in stochastic coordinate descent?

I want to minimize a loss function $L(\Theta \mid X)$ given data $X = \{x_1,\dots,x_D\}$ where $D$ is large. The loss can be decomposed as: $L(\Theta \mid X) = \sum_{d=1}^D l(\Theta \mid x_d)$ where ...
Kaiwen's user avatar
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Proximal operator of Adaptive Elastic Net

I would like to learn how to find the proximal operator of the Adaptive Elastic Net, from DOI: 10.1214/08-AOS625 "ON THE ADAPTIVE ELASTIC-NET WITH A DIVERGING NUMBER OF PARAMETERS" by HUI ...
SupBro's user avatar
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Coordinate Descent Alternating between LASSO and Ridge

Is there a way to do Coordinate descent but depending on the variable change the method applied to find the coefficient? For example, apply a LASSO constraint to a predefined 3 variables and Ridge to ...
Tylerr's user avatar
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Correlation of location to specific numerical values [closed]

I'm trying to calculate the correlation of specific locations (I have latitude and longitude data) to specific numerical values I have. Does anyone know any particular methods to do this? I have ...
kiwi_kimchi's user avatar
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Is this "stochastic gradient method" different from the stochastic gradient descent algorithm?

In a computational statistics book, I found an optimization method to find local minimum of a function. Let's assume that we have a differentiable function $f: \mathbb{R}^2 \longrightarrow \mathbb{R}$....
Neuchâtel's user avatar
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Expected value of log(gamma function(Dirichlet variable))

The following problem emerges from coordinate ascent variational inference in a mixture model with Dirichlet-Multinomial components. I want to compute the expectation of the log likelihood. Since my ...
Rylan Schaeffer's user avatar
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Informative censoring in Regularized Cox proportional hazard model

I am studying Cox proportional hazard models, and in particular Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent, by Tibshirani, Hastie and Friedman. I would like to ...
Niccolò Ajroldi's user avatar
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Intuition behind the coordinate descent convergence

I am looking at the page 6 of the slides about Coordinate Descent of Geoff Gordon and Ryan Tibshirani at the Carnegie Mellon University. They are dealing with the the Coordinate Descent algorithm ...
DanielTheRocketMan's user avatar
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Coordinate Descent for the Binary Logistic Regression

I am studying Binary Logistic Regression (BLR) with the LASSO penalty and am trying to solve my objective function using the coordinate descent as discussed in the paper by
Annalise Azzopardi's user avatar
2 votes
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Fastest algorithm to solve quantile regression with single predictor and no intercept

I was wondering what would be the most efficient algorithm to solve quantile regression with a single predictor and no intercept? I tried a Brent line search, but unfortunately that's no faster than ...
Tom Wenseleers's user avatar