Randomness and permutations in coordinate descent methods

Mert Gürbüzbalaban; Asuman Ozdaglar; Nuri Denizcan Vanli; Stephen J. Wright

doi:10.1007/s10107-019-01438-4

Publications · Journal article · Math. Program. 2020

Randomness and permutations in coordinate descent methods

Mert Gürbüzbalaban, Asuman Ozdaglar, Nuri Denizcan Vanli, Stephen J. Wright

Mathematical Programming, 181, pp. 349–376, 2020.

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Why random reshuffling beats SGD → — a playground built around the ideas in this paper.

Topics

Incremental methods & data ordering

Cite

@article{gurbuzbalaban2020permutations,
  title   = {Randomness and permutations in coordinate descent methods},
  author  = {Mert Gürbüzbalaban and Asuman Ozdaglar and Nuri Denizcan Vanli and Stephen J. Wright},
  year    = {2020},
  journal = {Mathematical Programming},
  volume  = {181},
  pages   = {349--376},
  doi     = {10.1007/s10107-019-01438-4},
}

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Surpassing gradient descent provably: a cyclic incremental method with linear convergence rate (SIAM J. Optim., 2018)
A double incremental aggregated gradient method with linear convergence rate for large-scale optimization (ICASSP, 2017)

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