RidgeSketch: A Fast Sketching Based Solver for Large Scale Ridge Regression
DOI10.1137/21M1422963MaRDI QIDQ5099418
Nidham Gazagnadou, Mark Ibrahim, Robert M. Gower
Publication date: 31 August 2022
Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2105.05565
accelerationmomentumrandomized coordinate descentrandomized numerical linear algebrarandomized sketchingsketch-and-project methods
Ridge regression; shrinkage estimators (Lasso) (62J07) Large-scale problems in mathematical programming (90C06) Numerical optimization and variational techniques (65K10) Complexity and performance of numerical algorithms (65Y20) Probabilistic methods, stochastic differential equations (65C99)
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