Improved Convergence for ℓ_∞ and ℓ_1 Regression via Iteratively Reweighted Least Squares
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The iteratively reweighted least squares method (IRLS) is a popular technique used in practice for solving regression problems. Various versions of this method have been proposed, but their theoretical analyses failed to capture the good practical performance. In this paper we propose a simple and natural version of IRLS for solving ℓ_∞ and ℓ_1 regression, which provably converges to a (1+ϵ)-approximate solution in O(m^1/3(1/ϵ)/ϵ + (m/ϵ)/ϵ^2) iterations, where m is the number of rows of the input matrix. Interestingly, this running time is independent of the conditioning of the input, and the dominant term of the running time depends only linearly in ϵ^-1, despite the fact that the problem it is solving is non-smooth, and the algorithm is not using any regularization. This improves upon the more complex algorithms of Chin et al. (ITCS '12), and Christiano et al. (STOC '11) by a factor of at least 1/ϵ^5/3, and yields a truly efficient natural algorithm for the slime mold dynamics (Straszak-Vishnoi, SODA '16, ITCS '16, ITCS '17).
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