The Sound of APALM Clapping: Faster Nonsmooth Nonconvex Optimization with Stochastic Asynchronous PALM
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Publication:6274402
arXiv1606.02338MaRDI QIDQ6274402FDOQ6274402
Authors: Damek Shea Davis, Brent Edmunds, Madeleine Udell 
Publication date: 7 June 2016
Abstract: We introduce the Stochastic Asynchronous Proximal Alternating Linearized Minimization (SAPALM) method, a block coordinate stochastic proximal-gradient method for solving nonconvex, nonsmooth optimization problems. SAPALM is the first asynchronous parallel optimization method that provably converges on a large class of nonconvex, nonsmooth problems. We prove that SAPALM matches the best known rates of convergence --- among synchronous or asynchronous methods --- on this problem class. We provide upper bounds on the number of workers for which we can expect to see a linear speedup, which match the best bounds known for less complex problems, and show that in practice SAPALM achieves this linear speedup. We demonstrate state-of-the-art performance on several matrix factorization problems.
Numerical mathematical programming methods (65K05) Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30) Stochastic programming (90C15)
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