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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 |