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arXiv · 1311.1873

An Asynchronous Parallel Stochastic Coordinate Descent Algorithm

Ji Liu·Stephen J. Wright·Christopher Ré·Victor Bittorf·Srikrishna Sridhar
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Abstract

We describe an asynchronous parallel stochastic coordinate descent algorithm for minimizing smooth unconstrained or separably constrained functions. The method achieves a linear convergence rate on functions that satisfy an essential strong convexity property and a sublinear rate ($1/K$) on general convex functions. Near-linear speedup on a multicore system can be expected if the number of processors is $O(n^{1/2})$ in unconstrained optimization and $O(n^{1/4})$ in the separable-constrained case, where $n$ is the number of variables. We describe results from implementation on 40-core processors.

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Ji Liu, Stephen J. Wright, Christopher Ré, Victor Bittorf, Srikrishna Sridhar. 2014-11-10. An Asynchronous Parallel Stochastic Coordinate Descent Algorithm. https://arxiv.org/abs/1311.1873

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