Directional optimization via EBW

A computer readable storage medium comprising a computer readable program for an optimization method, wherein the computer readable program when executed on a computer causes the computer to perform the steps of:

• determining a best gradient as a sparse direction in a function having a plurality of parameters, the sparse direction including a direction that maximizes change of the function as determined by an optimization method where a sparse direction is defined from sparse regularized constraints;
• determining a best step size along the sparse direction by finding magnitudes of entries of direction by solving an optimization problem that is constrained to the sparse direction;
• and
• recursively refining a solution to the optimization problem until a threshold constraint is met.

A system for optimization of a function with a large number of parameters, comprising:

• a processor configured to determine a best gradient as a sparse direction in a function having a plurality of parameters, the sparse direction including a direction that maximizes change of the function as determined by an optimization method where a sparse direction is defined from sparse regularized constraints;
• the processor being configured to determine a best step size along the sparse direction by solving an optimization problem to find magnitudes of entries of direction that are constrained to the sparse direction;
• and
• a memory storage device is configured to store a recursively refined optimization solution of the function.