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Gradient Projection Iterative Sketch for Large-Scale Constrained Least-Squares

ICML 2017 • Junqi Tang • Mohammad Golbabaee • Mike E. Davies

We propose a randomized first order optimization algorithm Gradient Projection Iterative Sketch (GPIS) and an accelerated variant for efficiently solving large scale constrained Least Squares (LS). We provide the first theoretical convergence analysis for both algorithms... (read more)

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