Doubly Greedy Primal-Dual Coordinate Descent for Sparse Empirical Risk Minimization

Qi Lei, Ian En-Hsu Yen, Chao-Yuan Wu, Inderjit S. Dhillon, Pradeep Ravikumar

Abstract: We consider the popular problem of sparse empirical risk minimization with linear predictors and a large number of both features and observations. With a convex-concave saddle point objective refor...