Section: New Results
A Random Block-Coordinate Douglas-Rachford Splitting Method with Low Computational Complexity for Binary Logistic Regression
Participants: Emilie Chouzenoux, Jean-Christophe Pesquet (Collaboration: Giovanni Chierchia, ESIEE Paris, Luis Bricenos Arias, Universidad Técnica Federico Santa Maria, Valparaiso, Chile)
In the paper [6], we proposed a new optimization algorithm for sparse logistic regression based on a stochastic version of the Douglas-Rachford splitting method. Our algorithm sweeps the training set by randomly selecting a mini-batch of data at each iteration, and it allows us to update the variables in a block coordinate manner. Our approach leverages the proximity operator of the logistic loss, which is expressed with the generalized Lambert W function. Experiments carried out on standard datasets demonstrate the efficiency of our approach w.r.t. stochastic gradient-like methods.