LIMITED-MEMORY QUASI-NEWTON OPTIMIZATION ALGORITHM FOR L1-REGULARIZED OBJECTIVES

摘要

An algorithm that employs modified methods developed for optimizing differential functions but which can also handle the special non-differentiabilities that occur with the L₁-regularization. The algorithm is a modification of the L-BFGS (limited-memory Broyden-Fletcher-Goldfarb-Shanno) quasi-Newton algorithm, but which can now handle the discontinuity of the gradient using a procedure that chooses a search direction at each iteration and modifies the line search procedure. The algorithm includes an iterative optimization procedure where each iteration approximately minimizes the objective over a constrained region of the space on which the objective is differentiable (in the case of L₁-regularization, a given orthant), models the second-order behavior of the objective by considering the loss component alone, using a “line-search” at each iteration that projects search points back onto the chosen orthant, and determines when to stop the line search.