TY - GEN
T1 - A reduction of the Elastic Net to Support Vector machines with an application to GPU computing
AU - Zhou, Quan
AU - Chen, Wenlin
AU - Song, Shiji
AU - Gardner, Jacob R.
AU - Weinberger, Kilian Q.
AU - Chen, Yixin
N1 - Publisher Copyright:
© 2015, Association for the Advancement of Artificial Intelligence (www.aaai.org). All rights reserved.
PY - 2015/6/1
Y1 - 2015/6/1
N2 - Algorithmic reductions are one of the corner stones of theoretical computer science. Surprisingly, to-date, they have only played a limited role in machine learning. In this paper we introduce a formal and practical reduction between two of the most widely used machine learning algorithms: from the Elastic Net (and the Lasso as a special case) to the Support Vector Machine. First, we derive the reduction and summarize it in only 11 lines of MATLABTM. Then, we demonstrate its high impact potential by translating recent advances in parallelizing SVM solvers directly to the Elastic Net. The resulting algorithm is a parallel solver for the Elastic Net (and Lasso) that naturally utilizes GPU and multi-core CPUs. We evaluate it on twelve real world data sets, and show that it yields identical results as the popular (and highly optimized) glmnet implementation but is up- to two orders of magnitude faster.
AB - Algorithmic reductions are one of the corner stones of theoretical computer science. Surprisingly, to-date, they have only played a limited role in machine learning. In this paper we introduce a formal and practical reduction between two of the most widely used machine learning algorithms: from the Elastic Net (and the Lasso as a special case) to the Support Vector Machine. First, we derive the reduction and summarize it in only 11 lines of MATLABTM. Then, we demonstrate its high impact potential by translating recent advances in parallelizing SVM solvers directly to the Elastic Net. The resulting algorithm is a parallel solver for the Elastic Net (and Lasso) that naturally utilizes GPU and multi-core CPUs. We evaluate it on twelve real world data sets, and show that it yields identical results as the popular (and highly optimized) glmnet implementation but is up- to two orders of magnitude faster.
UR - https://www.scopus.com/pages/publications/84960191959
M3 - Conference contribution
AN - SCOPUS:84960191959
T3 - Proceedings of the National Conference on Artificial Intelligence
SP - 3210
EP - 3216
BT - Proceedings of the 29th AAAI Conference on Artificial Intelligence, AAAI 2015 and the 27th Innovative Applications of Artificial Intelligence Conference, IAAI 2015
PB - AI Access Foundation
T2 - 29th AAAI Conference on Artificial Intelligence, AAAI 2015 and the 27th Innovative Applications of Artificial Intelligence Conference, IAAI 2015
Y2 - 25 January 2015 through 30 January 2015
ER -