An Efficient Semismooth Newton Based Algorithm for Convex Clustering

Clustering is a fundamental problem in unsupervised learning. Popular methods like K-means, may suffer from instability as they are prone to get stuck in its local minima. Recently, the sumof-norms (SON) model (also known as clustering path), which is a convex relaxation of hierarchical clustering model, has been proposed in (Lindsten et al. , 2011) and (Hocking et al. , 2011). Although numerical algorithms like alternating direction method of multipliers (ADMM) and alternating minimization algorithm (AMA) have been proposed to solve convex clustering model (Chi & Lange, 2015), it is known to be very challenging to solve large-scale problems. In this paper, we propose a semismooth Newton based augmented Lagrangian method for large-scale convex clustering problems. Extensive numerical experiments on both simulated and real data demonstrate that our algorithm is highly efficient and robust for solving large-scale problems. Moreover, the numerical results also show the superior performance and scalability of our algorithm comparing to existing first-order methods.

Authors

• Yancheng Yuan
• Defeng Sun
• Kim-Chuan Toh

Keywords

No keywords are indexed for this paper.