Adaptive Matrix Sparsification and Applications to Empirical Risk Minimization

Yang P. Liu, Richard Peng, Colin Tang +2

Consider the empirical risk minimization (ERM) problem, which is stated as follows. Let $K_1,\dots ,K_m$ be compact convex sets with $K_i\subseteq {\mathbb{R}}^{n_i}$ for $i \in [m…