An Asynchronous Parallel Stochastic Coordinate Descent Algorithm
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Publication:5502117
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 () on general convex functions. Near-linear speedup on a multicore system can be expected if the number of processors is in unconstrained optimization and in the separable-constrained case, where is the number of variables. We describe results from implementation on 40-core processors.
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