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Monthly Archives: July 2016

New Paper with Acceleration Framework for Sparse Optimization Problems

I added the link to the paper “A Multilevel Framework for Sparse Optimization With Application to Inverse Covariance Estimation and Logistic Regression” soon to appear in SIAM Scientific Computing (SISC) journal. The paper describes a method that accelerates sparse optimization methods that use L1 regularization to achieve sparse solution. We show how to apply this method to the sparse inverse covariance method (also known as GLASSO) and the L1-regularized logistic regression.