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I am looking for a software which does convex optimization in an online learning way. When I have a new observation I don't want to run the optimization program from the beginning, but to update the current model based on the new observation. A survey on this problem can be found at http://www.cs.huji.ac.il/~shais/papers/OLsurvey.pdf

Is there any well implemented software for doing this?

Thanks,

peng
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  • I haven't applied convex optimization in machine learning but these might be helpful: 1) http://www.stanford.edu/class/ee392o/links.html (See Software section), 2) http://www.stanford.edu/~liszt90/spy11.pdf – MRashid Feb 06 '13 at 05:11

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