Tuesday, 14:15 - 14:40 h, Room: H 1028


Rachael Tappenden
Block coordinate descent method for block-structured problems

Coauthors: Jacek Gondzio, Peter Richtarik


We are concerned with very large scale convex optimization problems and an application of the Block Coordinate Descent (BCD) algorithm to determine their solution. We assume that the problems display block-structure and we show how this structure may be exploited to accelerate the BCD algorithm. At every iteration of the algorithm, the direction in each block-coordinate must be determined. We discuss the linear algebra techniques employed to accelerate this step. We also present a convergence analysis and a complexity result, which provide a linear algebra insight into the standard convex optimization techniques.


Talk 3 of the invited session Tue.2.H 1028
"Coordinate descent methods for huge-scale optimization" [...]
Cluster 21
"Sparse optimization & compressed sensing" [...]


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