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Asynchronous Parallel Greedy Coordinate Descent

Yang You · Xiangru Lian · Ji Liu · Hsiang-Fu Yu · Inderjit Dhillon · James Demmel · Cho-Jui Hsieh

Area 5+6+7+8 #65

Keywords: [ Convex Optimization ] [ Large Scale Learning and Big Data ]


n this paper, we propose and study an Asynchronous parallel Greedy Coordinate Descent (Asy-GCD) algorithm for minimizing a smooth function with bounded constraints. At each iteration, workers asynchronously conduct greedy coordinate descent updates on a block of variables. In the first part of the paper, we analyze the theoretical behavior of Asy-GCD and prove a linear convergence rate. In the second part, we develop an efficient kernel SVM solver based on Asy-GCD in the shared memory multi-core setting. Since our algorithm is fully asynchronous---each core does not need to idle and wait for the other cores---the resulting algorithm enjoys good speedup and outperforms existing multi-core kernel SVM solvers including asynchronous stochastic coordinate descent and multi-core LIBSVM.

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