Distributed Optimization And Statistical Learning Via The Alternating Direction Method Of Multipliers

Distributed Optimization And Statistical Learning Via The Alternating Direction Method Of Multipliers

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Overview

Many problems of recent interest in statistics and machine learning can be posed in the framework of convex optimization. Due to the explosion in size and complexity of modern datasets, it is increasingly important to be able to solve problems with a very large number of features or training examples. As a result, both the decentralized collection or storage of these datasets as well as accompanying distributed solution methods are either necessary or at least highly desirable. Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers argues that the alternating direction method of multipliers is well suited to distributed convex optimization, and in particular to large-scale problems arising in statistics, machine learning, and related areas. The method was developed in the 1970s, with roots in the 1950s, and is equivalent or closely related to many other algorithms, such as dual decomposition, the method of multipliers, Douglas-Rachford splitting, Spingarn's method of partial inverses, Dykstra's alternating projections, Bregman iterative algorithms for ?1 problems, proximal methods, and others. After briefly surveying the theory and history of the algorithm, it discusses applications to a wide variety of statistical and machine learning problems of recent interest, including the lasso, sparse logistic regression, basis pursuit, covariance selection, support vector machines, and many others. It also discusses general distributed optimization, extensions to the nonconvex setting, and efficient implementation, including some details on distributed MPI and Hadoop MapReduce implementations.

Product Details

ISBN-13: 9781601984609
Publisher: Now Publishers
Publication date: 08/08/2011
Series: Foundations and Trends(r) in Machine Learning , #8
Pages: 140
Sales rank: 914,345
Product dimensions: 6.14(w) x 9.21(h) x 0.30(d)

Table of Contents

1: Introduction 2: Precursors 3: Alternating Direction Method of Multipliers 4: General Patterns 5: Constrained Convex Optimization 6: ?1-Norm Problems 7: Consensus and Sharing 8: Distributed Model Fitting 9: Nonconvex Problems 10: Implementation 11: Numerical Examples 12: Conclusions. Acknowledgements. A: Convergence Proof. References

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