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Aug
7
accepted Coordinate descent with constraints
Aug
6
comment Coordinate descent with constraints
Thanks for this answer Michael. Is it easy to see that when dealing with coordinate-wise bounds, thresholding to $l_i\leq x_i\leq u_i$ at each step results in the global minimizer for the problem I posed (convex function with separable non-smooth constraints and coordinate-wise bounds)?
Aug
5
asked Coordinate descent with constraints
Aug
1
comment What are some conceptualizations that work in mathematics but are not strictly true?
@BCLC a physicist would say $f(r,\theta)=r^2$ whereas a mathematician would say $f(r,\theta)=r^2+\theta^2$.
Jul
29
awarded  Good Answer
Jul
29
awarded  Good Answer
Jul
29
revised Interview puzzle with a deck of cards, some cards upside-down
deleted 7 characters in body
Jul
28
awarded  Nice Answer
Jul
28
comment Interview puzzle with a deck of cards, some cards upside-down
@Wonder Yes, it is the same answer (+1) - I saw that another answer appeared just as I was finishing mine, but since I'd already written it I hit 'post' anyway.
Jul
28
answered Interview puzzle with a deck of cards, some cards upside-down
Jul
18
comment What numerical methods are known to solve $L_1$ regularized quadratic programming problems?
I'll certainly give it a shot. I've already tried several general-purpose solvers (open source and commercial) which have been okay, but not as fast as a couple of hand-rolled special-purpose solvers. I've not tried CVX yet though...
Jul
18
accepted What numerical methods are known to solve $L_1$ regularized quadratic programming problems?
Jul
18
comment What numerical methods are known to solve $L_1$ regularized quadratic programming problems?
Thanks Michael, this is really helpful - I'm exploring several different options you suggested. I never have to solve a particularly tricky problem (mostly quadratic programming with an $L_1$ term and sometimes linear inequality constraints) but I need to solve a lot of them, so speed is a factor for me. Thanks for your help!
Jul
16
asked What numerical methods are known to solve $L_1$ regularized quadratic programming problems?
Jul
9
revised online estimation of autoregressive process
added 1 character in body
Jul
2
awarded  Curious
Jun
18
awarded  Popular Question
May
27
answered Find StdDev of a percentage list
May
23
awarded  Enlightened
May
23
awarded  Nice Answer