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6 - Large-Dimensional Convex Optimization

Published online by Cambridge University Press:  30 June 2022

Romain Couillet
Affiliation:
Université Grenoble Alpes
Zhenyu Liao
Affiliation:
Huazhong University of Science and Technology, China
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Summary

This chapter discusses the generalized linear classifier that results from convex optimization problem and takes in general nonexplicit form. Random matrix theory is combined with leave-one-out arguments to handle the technical difficulty due to implicity. Again, counterintuitive phenomena arise in popular machine learning methods such as logistic regression or SMV in the large-dimensional setting, a well-defined solution may not even exist, and if it does, it behaves dramatically from its small-dimensional counterpart.

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Publisher: Cambridge University Press
Print publication year: 2022

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