Iteration complexity of randomized block-coordinate descent methods for minimizing a composite function

作者：Richtarik, Peter^*; Takac, Martin

来源：Mathematical Programming, 2014, 144(1-2): 1-38.

DOI：10.1007/s10107-012-0614-z

• Block coordinate descent
• Huge-scale optimization
• Composite minimization
• Iteration complexity
• Convex optimization
• LASSO
• Sparse regression
• Gradient descent
• Coordinate relaxation
• Gauss-Seidel method

In this paper we develop a randomized block-coordinate descent method for minimizing the sum of a smooth and a simple nonsmooth block-separable convex function and prove that it obtains an -accurate solution with probability at least in at most iterations, where is the number of blocks. This extends recent results of Nesterov (SIAM J Optim 22(2): 341-362, 2012), which cover the smooth case, to composite minimization, while at the same time improving the complexity by the factor of 4 and removing from the logarithmic term. More importantly, in contrast with the aforementioned work in which the author achieves the results by applying the method to a regularized version of the objective function with an unknown scaling factor, we show that this is not necessary, thus achieving first true iteration complexity bounds. For strongly convex functions the method converges linearly. In the smooth case we also allow for arbitrary probability vectors and non-Euclidean norms. Finally, we demonstrate numerically that the algorithm is able to solve huge-scale -regularized least squares problems with a billion variables.

• 出版日期2014-4