A Matlab implementation of the optimal quadratic averaging algorithm. The accompanying paper can be found at http://arxiv.org/abs/1604.06543.
Algorithm file descriptions:
optave.m contains a function that implements the optimal quadratic averaging algorithm. A detailed description of
optave.m is given in the comments in the function itself.
optave.m expects the objective in a structured form (see the comments in
optave.m for more information). The function in
make_optave_objective.m is called by
optave.m to process and check the structure of the objective passed into
bracket_minimizer.m contains a method for bracketing the minimizer of a 1-dimensional convex function. The function
bracket_minimizer.m and the Matlab function
fminbnd are used by
optave.m to perform exact line search.
Example file descriptions:
main.m shows examples of using
optave.m to minimize the Rosenbrock function, the logistic loss function, and the log-sum-exp function.
c_half_square_norm.m are component functions used to make the Rosenbrock function, the logistic loss function, and the log-sum-exp function.
The functions in
make_logsumexp.m put together the component functions and return structured objectives that can be passed into
Running the file
memory_comparison_plot.m produces a plot that compares minimizing the logistic loss using
optave.m for various memory sizes.
callback.m is passed into
optave.m to collect plotting data.
colon-cancer.txt are LIBSVM data sets (for use in the logistic regression examples).