A generic coordinate descent solver for nonsmooth convex optimization
We present a generic coordinate descent solver for the minimization of a nonsmooth convex objective with structure. The method can deal in particular with problems with linear constraints. The implementation makes use of efficient residual updates and automatically determines which dual variables sh...
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| Published in | Optimization methods & software pp. 1 - 21 |
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| Main Author | |
| Format | Journal Article |
| Language | English |
| Published |
Taylor & Francis
27.08.2019
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| Subjects | |
| Online Access | Get full text |
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| Abstract | We present a generic coordinate descent solver for the minimization of a nonsmooth convex objective with structure. The method can deal in particular with problems with linear constraints. The implementation makes use of efficient residual updates and automatically determines which dual variables should be duplicated. A list of basic functional atoms is pre-compiled for efficiency and a modelling language in Python allows the user to combine them at run time. So, the algorithm can be used to solve a large variety of problems including Lasso, sparse multinomial logistic regression, linear and quadratic programs. |
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| AbstractList | We present a generic coordinate descent solver for the minimization of a nonsmooth convex objective with structure. The method can deal in particular with problems with linear constraints. The implementation makes use of efficient residual updates and automatically determines which dual variables should be duplicated. A list of basic functional atoms is pre-compiled for efficiency and a modelling language in Python allows the user to combine them at run time. So, the algorithm can be used to solve a large variety of problems including Lasso, sparse multinomial logistic regression, linear and quadratic programs. |
| Author | Fercoq, Olivier |
| Author_xml | – sequence: 1 givenname: Olivier orcidid: 0000-0002-3393-9757 surname: Fercoq fullname: Fercoq, Olivier organization: Laboratoire Traitement et Communication de l'Information |
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| DOI | 10.1080/10556788.2019.1658758 |
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| Keywords | efficient implementation generic solver convex optimization Coordinate descent |
| Language | English |
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| Snippet | We present a generic coordinate descent solver for the minimization of a nonsmooth convex objective with structure. The method can deal in particular with... |
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| Title | A generic coordinate descent solver for nonsmooth convex optimization |
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