Efficient L1 Regularized Logistic Regression

L1 regularized logistic regression is now a workhorse of machine learning: it is widely used for many classification problems, particularly ones with many features. L1 regularized logistic regression requires solving a convex optimization problem. However, standard algorithms for solving convex optimization problems do not scale well enough to handle the large datasets encountered in many practical settings. In this paper, we propose an efficient algorithm for L1 regularized logistic regression. Our algorithm iteratively approximates the objective function by a quadratic approximation at the current point, while maintaining the L1 constraint. In each iteration, it uses the efficient LARS (Least Angle Regression) algorithm to solve the resulting L1 constrained quadratic optimization problem. Our theoretical results show that our algorithm is guaranteed to converge to the global optimum. Our experiments show that our algorithm significantly outperforms standard algorithms for solving convex optimization problems. Moreover, our algorithm outperforms four previously published algorithms that were specifically designed to solve the L1 regularized logistic regression problem.