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arXiv · 1510.06684

Dual Free Adaptive Mini-batch SDCA for Empirical Risk Minimization

Xi He·Martin Takáč
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Abstract

In this paper we develop dual free mini-batch SDCA with adaptive probabilities for regularized empirical risk minimization. This work is motivated by recent work of Shai Shalev-Shwartz on dual free SDCA method, however, we allow a non-uniform selection of "dual" coordinates in SDCA. Moreover, the probability can change over time, making it more efficient than fix uniform or non-uniform selection. We also propose an efficient procedure to generate a random non-uniform mini-batch through iterative process. The work is concluded with multiple numerical experiments to show the efficiency of proposed algorithms.

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Xi He, Martin Takáč. 2018-05-24. Dual Free Adaptive Mini-batch SDCA for Empirical Risk Minimization. https://arxiv.org/abs/1510.06684

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