/tracenorm

Implementation of trace norm regression in Python

Primary LanguagePython

Trace Norm Regression

Implementation of Ji, S. & Ye, J., An accelerated gradient method for trace norm minimization, Proceedings of the 26th Annual International Conference on Machine Learning, 2009, 457-464 and comparison to Ridge regression.

This regression method is useful for multi-task learning of sparse representations.

Given two matrices 'U' and 'V', the function to minimize is:

| UA - V |^2_2 + |A|

where the right term is the sum of the singular values of 'A'.