Github user jkbradley commented on a diff in the pull request: https://github.com/apache/spark/pull/13262#discussion_r64252055 --- Diff: docs/ml-advanced.md --- @@ -4,10 +4,85 @@ title: Advanced topics - spark.ml displayTitle: Advanced topics - spark.ml --- -# Optimization of linear methods +* Table of contents +{:toc} + +`\[ +\newcommand{\R}{\mathbb{R}} +\newcommand{\E}{\mathbb{E}} +\newcommand{\x}{\mathbf{x}} +\newcommand{\y}{\mathbf{y}} +\newcommand{\wv}{\mathbf{w}} +\newcommand{\av}{\mathbf{\alpha}} +\newcommand{\bv}{\mathbf{b}} +\newcommand{\N}{\mathbb{N}} +\newcommand{\id}{\mathbf{I}} +\newcommand{\ind}{\mathbf{1}} +\newcommand{\0}{\mathbf{0}} +\newcommand{\unit}{\mathbf{e}} +\newcommand{\one}{\mathbf{1}} +\newcommand{\zero}{\mathbf{0}} +\]` + +# Optimization of linear methods (developer) + +## Limited-memory BFGS (L-BFGS) +[L-BFGS](http://en.wikipedia.org/wiki/Limited-memory_BFGS) is an optimization +algorithm in the family of quasi-Newton methods to solve the optimization problems of the form +`$\min_{\wv \in\R^d} \; f(\wv)$`. The L-BFGS method approximates the objective function locally as a +quadratic without evaluating the second partial derivatives of the objective function to construct the +Hessian matrix. The Hessian matrix is approximated by previous gradient evaluations, so there is no +vertical scalability issue (the number of training features) when computing the Hessian matrix --- End diff -- "when computing" ---> "unlike computing"
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