Coordinate Descent with Arbitrary Sampling I: Algorithms and Complexity

27 Dec 2014Zheng QuPeter Richtárik

We study the problem of minimizing the sum of a smooth convex function and a convex block-separable regularizer and propose a new randomized coordinate descent method, which we call ALPHA. Our method at every iteration updates a random subset of coordinates, following an arbitrary distribution... (read more)

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