{"action":"created","comment":{"url":"https://api.github.com/repos/apache/spark/pulls/comments/25986928","id":25986928,"diff_hunk":"@@ -0,0 +1,237 @@\n+/*\n+ * Licensed to the Apache Software Foundation (ASF) under one or more\n+ * contributor license agreements.  See the NOTICE file distributed with\n+ * this work for additional information regarding copyright ownership.\n+ * The ASF licenses this file to You under the Apache License, Version 2.0\n+ * (the \"License\"); you may not use this file except in compliance with\n+ * the License.  You may obtain a copy of the License at\n+ *\n+ *    http://www.apache.org/licenses/LICENSE-2.0\n+ *\n+ * Unless required by applicable law or agreed to in writing, software\n+ * distributed under the License is distributed on an \"AS IS\" BASIS,\n+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.\n+ * See the License for the specific language governing permissions and\n+ * limitations under the License.\n+ */\n+\n+package org.apache.spark.mllib.optimization\n+\n+import scala.collection.mutable.ArrayBuffer\n+\n+import breeze.linalg.{DenseVector => BDV, norm}\n+\n+import org.apache.spark.Logging\n+import org.apache.spark.annotation.DeveloperApi\n+import org.apache.spark.mllib.linalg.{Vector, Vectors}\n+import org.apache.spark.rdd.RDD\n+\n+/**\n+ * :: DeveloperApi ::\n+ * This class optimizes a vector of weights via accelerated (proximal) gradient descent.\n+ * The implementation is based on TFOCS [[http://cvxr.com/tfocs]], described in Becker, Candes, and\n+ * Grant 2010.\n+ * @param gradient Delegate that computes the loss function value and gradient for a vector of\n+ *                 weights.\n+ * @param updater Delegate that updates weights in the direction of a gradient.\n+ */\n+@DeveloperApi\n+class AcceleratedGradientDescent (private var gradient: Gradient, private var updater: Updater)\n+  extends Optimizer {\n+\n+  private var stepSize: Double = 1.0\n+  private var convergenceTol: Double = 1e-4\n+  private var numIterations: Int = 100\n+  private var regParam: Double = 0.0\n+\n+  /**\n+   * Set the initial step size, used for the first step. Default 1.0.\n+   * On subsequent steps, the step size will be adjusted by the acceleration algorithm.\n+   */\n+  def setStepSize(step: Double): this.type = {","path":"mllib/src/main/scala/org/apache/spark/mllib/optimization/AcceleratedGradientDescent.scala","position":51,"original_position":51,"commit_id":"a121bd0f6e5f2387bd502976940c08f6a4a2e4b1","original_commit_id":"a121bd0f6e5f2387bd502976940c08f6a4a2e4b1","user":{"login":"staple","id":307174,"avatar_url":"https://avatars.githubusercontent.com/u/307174?v=3","gravatar_id":"","url":"https://api.github.com/users/staple","html_url":"https://github.com/staple","followers_url":"https://api.github.com/users/staple/followers","following_url":"https://api.github.com/users/staple/following{/other_user}","gists_url":"https://api.github.com/users/staple/gists{/gist_id}","starred_url":"https://api.github.com/users/staple/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/staple/subscriptions","organizations_url":"https://api.github.com/users/staple/orgs","repos_url":"https://api.github.com/users/staple/repos","events_url":"https://api.github.com/users/staple/events{/privacy}","received_events_url":"https://api.github.com/users/staple/received_events","type":"User","site_admin":false},"body":"@mengxr Thanks for taking a look. I was advised by Reza Zadeh to implement a version without line search, at least for the initial implementation.\r\n\r\nPlease see discussion here: https://issues.apache.org/jira/browse/SPARK-1503?focusedCommentId=14225295, and in the following comments. I also attached some optimization benchmarks to the jira, which include performance of both backtracking line search and non line search implementations. Per your suggestion that it's hard to choose a proper stepSize I can attest that, anecdotally, acceleration seems somewhat more sensitive to diverging with nominal stepSize than the existing gradient descent.","created_at":"2015-03-06T23:23:14Z","updated_at":"2015-03-06T23:23:14Z","html_url":"https://github.com/apache/spark/pull/4934#discussion_r25986928","pull_request_url":"https://api.github.com/repos/apache/spark/pulls/4934","_links":{"self":{"href":"https://api.github.com/repos/apache/spark/pulls/comments/25986928"},"html":{"href":"https://github.com/apache/spark/pull/4934#discussion_r25986928"},"pull_request":{"href":"https://api.github.com/repos/apache/spark/pulls/4934"}}},"pull_request":{"url":"https://api.github.com/repos/apache/spark/pulls/4934","id":30674686,"html_url":"https://github.com/apache/spark/pull/4934","diff_url":"https://github.com/apache/spark/pull/4934.diff","patch_url":"https://github.com/apache/spark/pull/4934.patch","issue_url":"https://api.github.com/repos/apache/spark/issues/4934","number":4934,"state":"open","locked":false,"title":"[SPARK-1503][MLLIB] Initial AcceleratedGradientDescent implementation.","user":{"login":"staple","id":307174,"avatar_url":"https://avatars.githubusercontent.com/u/307174?v=3","gravatar_id":"","url":"https://api.github.com/users/staple","html_url":"https://github.com/staple","followers_url":"https://api.github.com/users/staple/followers","following_url":"https://api.github.com/users/staple/following{/other_user}","gists_url":"https://api.github.com/users/staple/gists{/gist_id}","starred_url":"https://api.github.com/users/staple/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/staple/subscriptions","organizations_url":"https://api.github.com/users/staple/orgs","repos_url":"https://api.github.com/users/staple/repos","events_url":"https://api.github.com/users/staple/events{/privacy}","received_events_url":"https://api.github.com/users/staple/received_events","type":"User","site_admin":false},"body":"An implementation of accelerated gradient descent, a first order optimization algorithm with faster asymptotic convergence than standard gradient descent.\r\n\r\nDesign discussion and benchmark results at\r\nhttps://issues.apache.org/jira/browse/SPARK-1503\r\n\r\nIf the implementation seems promising it may make sense to add:\r\n- documentation about the algorithm\r\n- usage examples","created_at":"2015-03-06T20:00:21Z","updated_at":"2015-03-06T23:23:14Z","closed_at":null,"merged_at":null,"merge_commit_sha":"512ca3eb1d6f5ae002190f1c459701dac641835b","assignee":null,"milestone":null,"commits_url":"https://api.github.com/repos/apache/spark/pulls/4934/commits","review_comments_url":"https://api.github.com/repos/apache/spark/pulls/4934/comments","review_comment_url":"https://api.github.com/repos/apache/spark/pulls/comments{/number}","comments_url":"https://api.github.com/repos/apache/spark/issues/4934/comments","statuses_url":"https://api.github.com/repos/apache/spark/statuses/a121bd0f6e5f2387bd502976940c08f6a4a2e4b1","head":{"label":"staple:SPARK-1503","ref":"SPARK-1503","sha":"a121bd0f6e5f2387bd502976940c08f6a4a2e4b1","user":{"login":"staple","id":307174,"avatar_url":"https://avatars.githubusercontent.com/u/307174?v=3","gravatar_id":"","url":"https://api.github.com/users/staple","html_url":"https://github.com/staple","followers_url":"https://api.github.com/users/staple/followers","following_url":"https://api.github.com/users/staple/following{/other_user}","gists_url":"https://api.github.com/users/staple/gists{/gist_id}","starred_url":"https://api.github.com/users/staple/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/staple/subscriptions","organizations_url":"https://api.github.com/users/staple/orgs","repos_url":"https://api.github.com/users/staple/repos","events_url":"https://api.github.com/users/staple/events{/privacy}","received_events_url":"https://api.github.com/users/staple/received_events","type":"User","site_admin":false},"repo":{"id":21366170,"name":"spark","full_name":"staple/spark","owner":{"login":"staple","id":307174,"avatar_url":"https://avatars.githubusercontent.com/u/307174?v=3","gravatar_id":"","url":"https://api.github.com/users/staple","html_url":"https://github.com/staple","followers_url":"https://api.github.com/users/staple/followers","following_url":"https://api.github.com/users/staple/following{/other_user}","gists_url":"https://api.github.com/users/staple/gists{/gist_id}","starred_url":"https://api.github.com/users/staple/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/staple/subscriptions","organizations_url":"https://api.github.com/users/staple/orgs","repos_url":"https://api.github.com/users/staple/repos","events_url":"https://api.github.com/users/staple/events{/privacy}","received_events_url":"https://api.github.com/users/staple/received_events","type":"User","site_admin":false},"private":false,"html_url":"https://github.com/staple/spark","description":"Mirror 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