Parallel version of FaNCL algorithm, see details at
- Q.Yao, J.T.Kwok and W.Zhong. Fast low-rank matrix learning with nonconvex regularization. ICDM 2015.
- Q.Yao, J.T.Kwok, T.Wang and T.-Y.Liu. Large-Scale Low-Rank Matrix Learning with Nonconvex Regularizers. TPAMI 2018.
The code is complied with Visual Studio 2012. The standard C++ parallel library and Intel MKL are used.