Fast Relative-Error Approximation Algorithm for Ridge Regression

@inproceedings{Chen2015FastRA,
  title={Fast Relative-Error Approximation Algorithm for Ridge Regression},
  author={Shouyuan Chen and Yang Liu and Michael R. Lyu and Irwin King and Shengyu Zhang},
  booktitle={UAI},
  year={2015}
}
Ridge regression is one of the most popular and effective regularized regression methods, and one case of particular interest is that the number of features p is much larger than the number of samples n, i.e. p n. In this case, the standard optimization algorithm for ridge regression computes the optimal solution x⇤ in O(n2p + n3) time. In this paper, we propose a fast relativeerror approximation algorithm for ridge regression. More specifically, our algorithm outputs a solution ̃ x satisfying… CONTINUE READING