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arXiv · 1901.08523

Curvature-Exploiting Acceleration of Elastic Net Computations

Vien V. Mai·Mikael Johansson
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Abstract

This paper introduces an efficient second-order method for solving the elastic net problem. Its key innovation is a computationally efficient technique for injecting curvature information in the optimization process which admits a strong theoretical performance guarantee. In particular, we show improved run time over popular first-order methods and quantify the speed-up in terms of statistical measures of the data matrix. The improved time complexity is the result of an extensive exploitation of the problem structure and a careful combination of second-order information, variance reduction techniques, and momentum acceleration. Beside theoretical speed-up, experimental results demonstrate great practical performance benefits of curvature information, especially for ill-conditioned data sets.

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Vien V. Mai, Mikael Johansson. 2019-01-24. Curvature-Exploiting Acceleration of Elastic Net Computations. https://arxiv.org/abs/1901.08523

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