Thunder: a Fast Coordinate Selection Solver for Sparse Learning

1 regularization has been broadly employed to pursue model sparsity. Despite the non-smoothness, researchers have developed efficient algorithms by leveraging the sparsity and convexity of the problem. In this paper, we propose a novel active incremental approach to further improve the efficiency of the solvers. We show that our method performs well even when the existing methods fail due to the low sparseness or high solution accuracy request. Theoretical analysis and experimental results on synthetic and real-world data sets validate the advantages of the method.