I will update the document to detail the algorithm.
On Sun, Jul 21, 2013 at 1:50 PM, Ted Dunning <ted.dunn...@gmail.com> wrote: > On Sun, Jul 21, 2013 at 1:41 PM, Kun Yang <kuny...@stanford.edu> wrote: > > > The algorithm is not solving the normal equation as in the ordinary > linear > > regression. I did not detail the algorithm to solve the penalized > > optimization in the paper. To solve the penalized version, I will use the > > coordinate descent which is well documented in other paper (see > Freedman's > > paper, for 1000 variables, it takes ~1min to do cross validation in the R > > package) and is very efficient. > > > > As I discussed in the conclusion section, to solve the problem with large > > number of predictors, it is still a challenge even though in the single > > machine or MPI version, but the proposed algorithm can handle the number > of > > variable at the order of 5000 and it covers lots of applications. > > > > Should the document be updated to describe what you intend to do? >
