Spark TFOCS Optimization

SPEAKER BIO

Aaron Staple

Aaron Staple is a freelance developer with experience in data infrastructure and analytics. Aaron is the author of the Spark-TFOCS package, with support from Databricks.

MEETUP SUMMARY

The spark-tfocs package ports TFOCS to Spark. TFOCS (pronounced tee-fox) is a Matlab library providing templates for first-order conic solvers.

At this Meetup event hosted by BlackRock, Aaron provided an overview of the convex optimization methods used in TFOCS, including Nesterov’s accelerated gradient descent. The presentation highlighted the interfaces used to define optimization problems in spark-tfocs, using examples such as LASSO, linear programming, and quantile regression. Aaron provided insight into his design and implementation choices made during development and demonstrated solutions for the sample problems he presented.

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