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2018, Volume 19, Issue 6

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Frontiers of Information Technology & Electronic Engineering >> 2018, Volume 19, Issue 6 doi: 10.1631/FITEE.1601771

Stochastic extra-gradient based alternating direction methods for graph-guided regularizedminimization

. College of Computer, National University of Defense Technology, Changsha 410073, China.. National Laboratory for Parallel and Distributed Processing, National University of Defense Technology, Changsha 410073, China.

Available online: 2018-08-30
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Abstract

In this study, we propose and compare stochastic variants of the extra-gradient alternating direction method, named the stochastic extra-gradient alternating direction method with Lagrangian function (SEGL) and the stochastic extra-gradient alternating direction method with augmented Lagrangian function (SEGAL), to minimize the graph-guided optimization problems, which are composited with two convex objective functions in large scale. A number of important applications in machine learning follow the graph-guided optimization formulation, such as linear regression, logistic regression, Lasso, structured extensions of Lasso, and structured regularized logistic regression. We conduct experiments on fused logistic regression and graph-guided regularized regression. Experimental results on several genres of datasets demonstrate that the proposed algorithm outperforms other competing algorithms, and SEGAL has better performance than SEGL in practical use.

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