  Convex optimization is an essential tool for modern data analysis, as it
provides a framework to formulate and solve many problems in machine learning
and data mining. However, general convex optimization solvers do not scale
well, and scalable solvers are often specialized to only work on a narrow class
of problems. Therefore, there is a need for simple, scalable algorithms that
can solve many common optimization problems. In this paper, we introduce the
\emph{network lasso}, a generalization of the group lasso to a network setting
that allows for simultaneous clustering and optimization on graphs. We develop
an algorithm based on the Alternating Direction Method of Multipliers (ADMM) to
solve this problem in a distributed and scalable manner, which allows for
guaranteed global convergence even on large graphs. We also examine a
non-convex extension of this approach. We then demonstrate that many types of
problems can be expressed in our framework. We focus on three in particular -
binary classification, predicting housing prices, and event detection in time
series data - comparing the network lasso to baseline approaches and showing
that it is both a fast and accurate method of solving large optimization
problems.
