Could someone please clarify if the DAAL Coordinate Descent algorithm implementation works with a not necessary additively separable non-smooth function?
The example below refers to L1 norm as non smooth part of the objective function.
I would like to use Coordinate Descent algorithm for more generic not necessary separable non-smooth functions. Any thoughts?
Current implementation of Intel DAAL Coordinate Descent optimization solver requires next available results from objective function:
Coordinate descent (and other solvers) requires composite form of objective function as described common part of iterative solvers:
Also I'm not sure that proximal projection operator itself is applicable for not separable representation of objective function.
Sorry for long response.
Thank you Kirill,
it looks to me as it could be a serious problem with the MSE. I really need your advice on weather this can be fixed or if there is work around on
using SAGA with regularized MSE