A new accelerated algorithm for ill-conditioned ridge regression problems

作者：Silva Tatiane C^*; Ribeiro Ademir A; Pericaro Gislaine A

来源：COMPUTATIONAL & APPLIED MATHEMATICS, 2018, 37(2): 1941-1958.

DOI：10.1007/s40314-017-0430-4

• Primal-dual methods
• Ridge regression
• Fixed point
• Accelerated methods

In this work, we study the primal and dual formulations of the regularized least squares problem, in special norm L2, named ridge regression. We state the Gradient method for the corresponding primal-dual problem through a fixed point approach. For this formulation, we present an original convergence analysis involving the spectral radius of a suitable iteration matrix. The main contribution of this work is to accelerate the studied method by means of a memory-like strategy. Some connections with the spectral properties of the associated iteration matrices were established to prove the convergence of the accelerated method. Preliminary experiments showed the good performance of the proposed algorithm when applied to solve ill-conditioned problems, providing better results than the conjugate gradient method for this class of problems.

• 出版日期2018-5