Github user debasish83 commented on the pull request:
https://github.com/apache/spark/pull/5005#issuecomment-90950074
if you look into breeze.optimize.proximal.Proximal, I added a library of
projection/proximal operators...in my experiments looks like projection based
algorithms (SPG for example) does not work for L1 and sparsity constraint that
well but works well for positivity and bounds for example...I am thinking to
extend breeze linear CG / NNLS to handle simple projections and hopefully
consolidate both into one linear CG with projection...
I support these constraints through a cholesky/LDL based ADMM solver but I
wanted to write an iterative version using linear CG to see if ADMM performance
can be improved...For well conditioned QPs papers have found ADMM faster than
FISTA but I did not see comparisons with linear CG variant...
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