RidgeSketch: a fast sketching based solver for large scale ridge regression
DOI10.1137/21M1422963MaRDI QIDQ5099418FDOQ5099418
Authors: 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
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accelerationmomentumrandomized coordinate descentrandomized numerical linear algebrarandomized sketchingsketch-and-project methods
Probabilistic methods, stochastic differential equations (65C99) Numerical optimization and variational techniques (65K10) Ridge regression; shrinkage estimators (Lasso) (62J07) Complexity and performance of numerical algorithms (65Y20) Large-scale problems in mathematical programming (90C06)
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Cited In (5)
- Sketched ridge regression: optimization perspective, statistical perspective, and model averaging
- Regularized and structured tensor total least squares methods with applications
- Sharp Analysis of Sketch-and-Project Methods via a Connection to Randomized Singular Value Decomposition
- Ridgesketch
- Faster kernel ridge regression using sketching and preconditioning
Uses Software
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