A generic coordinate descent solver for non-smooth convex optimisation
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Publication:5865339
DOI10.1080/10556788.2019.1658758zbMATH Open1494.90077arXiv1812.00628OpenAlexW2970475689WikidataQ127312507 ScholiaQ127312507MaRDI QIDQ5865339FDOQ5865339
Authors: Olivier Fercoq 
Publication date: 13 June 2022
Published in: Optimization Methods \& Software (Search for Journal in Brave)
Abstract: We present a generic coordinate descent solver for the minimization of a nonsmooth convex objective with structure. The method can deal in particular with problems with linear constraints. The implementation makes use of efficient residual updates and automatically determines which dual variables should be duplicated. A list of basic functional atoms is pre-compiled for efficiency and a modelling language in Python allows the user to combine them at run time. So, the algorithm can be used to solve a large variety of problems including Lasso, sparse multinomial logistic regression, linear and quadratic programs.
Full work available at URL: https://arxiv.org/abs/1812.00628
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