Overview

• The package EXTRA_Demo_Huber includes a demo illustrating how fast EXTRA solves a decentralized Huber minimization problem (or least squares). The package EXTRA_Demo_Logistic includes a demo illustrating how fast EXTRA solves a decentralized logistic regression problem.
• References:
  • [1] W. Shi, Q. Ling, G. Wu, and W. Yin, “EXTRA: An Exact First-Order Algorithm for Decentralized Consensus Optimization,” SIAM Journal on Optimization, vol. 25, no. 2, pp. 944–966, 2015.
• Please use the code under the GNU GPLv3
• Please note: the demos may need CVX if one chooses to use the FDLA matrix as the mixing matrix. This code is still in beta version, and is not yet well documented. The demo main files in EXTRA_Demo_Huber are Compare_all_Huber.m and Compare_all_LS.m. The package EXTRA_Demo_Huber also contains a demo file Tuning_W_tilde.m which illustrates how overshooting W tilde can speed up the convergence. The demo main file in EXTRA_Demo_Logistic is Compare_all.m. The code has been tested in Windows 7, PCWIN64 environment.
• Changelog:

Matlab code

• EXTRA_Demo_Huber_v2.0.zip
• EXTRA_Demo_Logistic_v2.2.zip