A Casual Chat on Convex Optimization in Machine Learning

Data Mining at Iowa GroupQihang Lin 02/09/2014

Optimization Models in Machine Learning

• LASSO• Graphical LASSO• Matrix Completion• Robust PCA• SVM• ……

LASSO

• Linear Regression• Ridge Regression• L1-Regularized Regression• Elastic Net Regression• Fused LASSO• Group LASSO• Multi-Task LASSO

Graphical LASSO

Matrix Completion

Robust PCA

http://perception.csl.illinois.edu/matrix-rank/introduction.html#PCA

SVM

Convex Optimization Algorithms

• Proximal Gradient • Frank-Wolfe (Conditional Gradient)• Alternating Direction Method of Multipliers• Coordinate Descent