HONES: A Fast and Tuning-free Homotopy Method For Online Newton Step
Optimization and Control
2017-10-26 v2
Abstract
In this article, we develop and analyze a homotopy continuation method, referred to as HONES , for solving the sequential generalized projections in Online Newton Step, as well as the generalized problem known as sequential standard quadratic programming. HONES is fast, tuning-free, error-free (up to machine error) and adaptive to the solution sparsity. This is confirmed by both careful theoretical analysis and extensive experiments on both synthetic and real data.
Keywords
Cite
@article{arxiv.1610.04329,
title = {HONES: A Fast and Tuning-free Homotopy Method For Online Newton Step},
author = {Yuting Ye and Lihua Lei and Cheng Ju},
journal= {arXiv preprint arXiv:1610.04329},
year = {2017}
}