A Comparison of Optimization Methods for Large-scale L 1-regularized Linear Classification

Large-scale linear classification is widely used in many areas. The L1-regularized form can be applied for feature selection, but its non-differentiability causes more difficulties in training. Various optimization methods have been proposed in recent years, but no serious comparison among them has been made. In this paper, we discuss several state of the art methods and propose two new implementations. We then conduct a comprehensive comparison. Results show that decomposition methods, in particular coordinate descent methods, are very suitable for training large document data.