Stochastic Dual Coordinate Ascent for Learning Sign Constrained Linear Predictors

Abstract

Sign constraints are a handy representation of domain-specific prior knowledge that can be incorporated to machine learning. This paper presents new stochastic dual coordinate ascent (SDCA) algorithms that find the minimizer of the empirical risk under the sign constraints. Generic surrogate loss functions can be plugged into the proposed algorithm with the strong convergence guarantee inherited from the vanilla SDCA. The prediction performance is demonstrated on the classification task for microbiological water quality analysis.