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arXiv · 2411.11664

Randomized Block Coordinate DC Programming

Hoomaan Maskan·Paniz Halvachi·Suvrit Sra·Alp Yurtsever
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Abstract

We introduce an extension of the Difference of Convex Algorithm (DCA) in the form of a randomized block coordinate approach for problems with separable structure. For $n$ coordinate-blocks and $k$ iterations, our main result proves a non-asymptotic convergence rate of $O(n/k)$ in expectation, with respect to a stationarity measure based on a Forward-Backward envelope. Furthermore, leveraging the connection between DCA and Expectation Maximization (EM), we propose a randomized block coordinate EM algorithm.

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Hoomaan Maskan, Paniz Halvachi, Suvrit Sra, Alp Yurtsever. 2024-11-18. Randomized Block Coordinate DC Programming. https://arxiv.org/abs/2411.11664

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