Github user mengxr commented on a diff in the pull request:
https://github.com/apache/spark/pull/4934#discussion_r25985578
--- Diff:
mllib/src/main/scala/org/apache/spark/mllib/optimization/AcceleratedGradientDescent.scala
---
@@ -0,0 +1,237 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements. See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License. You may obtain a copy of the License at
+ *
+ * http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+package org.apache.spark.mllib.optimization
+
+import scala.collection.mutable.ArrayBuffer
+
+import breeze.linalg.{DenseVector => BDV, norm}
+
+import org.apache.spark.Logging
+import org.apache.spark.annotation.DeveloperApi
+import org.apache.spark.mllib.linalg.{Vector, Vectors}
+import org.apache.spark.rdd.RDD
+
+/**
+ * :: DeveloperApi ::
+ * This class optimizes a vector of weights via accelerated (proximal)
gradient descent.
+ * The implementation is based on TFOCS [[http://cvxr.com/tfocs]],
described in Becker, Candes, and
+ * Grant 2010.
+ * @param gradient Delegate that computes the loss function value and
gradient for a vector of
+ * weights.
+ * @param updater Delegate that updates weights in the direction of a
gradient.
+ */
+@DeveloperApi
+class AcceleratedGradientDescent (private var gradient: Gradient, private
var updater: Updater)
+ extends Optimizer {
+
+ private var stepSize: Double = 1.0
+ private var convergenceTol: Double = 1e-4
+ private var numIterations: Int = 100
+ private var regParam: Double = 0.0
+
+ /**
+ * Set the initial step size, used for the first step. Default 1.0.
+ * On subsequent steps, the step size will be adjusted by the
acceleration algorithm.
+ */
+ def setStepSize(step: Double): this.type = {
--- End diff --
It is quite hard to choose a proper `stepSize` in practice, because it
depends on the Lipschitz constant, which is usually unknown. It may be better
if we can implement a line search method.
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