yegortk

module L1Convex

# This is a Julia module implementing OWL-QN algorithm for large-scale L1-regularized convex optimization
# https://www.microsoft.com/en-us/research/wp-content/uploads/2007/01/andrew07scalable.pdf
# http://proceedings.mlr.press/v37/gonga15.pdf

# The algorithm minimizes loss of the form: f(x) + lambda * ||x||_1
# where f(x) is a differentiable convex function
# ||x||_1 is the L1 norm of the parameter vector x
# lambda is the regularization strength