Linear Convergence of Randomized Primal-Dual Coordinate Method for Large-scale Linear Constrained Convex Programming

ICML 2020 Daoli ZhuLei Zhao

Linear constrained convex programming (LCCP) has many practical applications, including support vector machine (SVM) and machine learning portfolio (MLP) problems. We propose the randomized primal-dual coordinate (RPDC) method, a randomized coordinate extension of the first-order primal-dual method by Cohen and Zhu, 1984 and Zhao and Zhu, 2019, to solve LCCP... (read more)

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