| Summary: | In this paper, a new nonsmooth optimization-based algorithm for solving large-scale regression problems is introduced. The regression problem is modeled as fully-connected feedforward neural networks with one hidden layer, piecewise linear activation, and the <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>L</mi><mn>1</mn></msub></semantics></math></inline-formula>-loss functions. A modified version of the limited memory bundle method is applied to minimize this nonsmooth objective. In addition, a novel constructive approach for automated determination of the proper number of hidden nodes is developed. Finally, large real-world data sets are used to evaluate the proposed algorithm and to compare it with some state-of-the-art neural network algorithms for regression. The results demonstrate the superiority of the proposed algorithm as a predictive tool in most data sets used in numerical experiments.
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