Search Machine Learning Repository: An Asynchronous Parallel Stochastic Coordinate Descent Algorithm
Authors: Ji Liu, Steve Wright, Christopher Re, Victor Bittorf and Srikrishna Sridhar
Conference: Proceedings of the 31st International Conference on Machine Learning (ICML-14)
Year: 2014
Pages: 469-477
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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