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

 

Rachael Tappenden
Block coordinate descent method for block-structured problems

Coauthors: Jacek Gondzio, Peter Richtarik

 

Abstract:
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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