This thesis consists of 5 chapters. We develop new serial (Chapter 2), parallel (Chapter 3), distributed (Chapter 4) and primal-dual (Chapter 5) stochastic (randomized) coordinate descent methods, analyze their complexity and conduct numerical experiments on synthetic and real data of huge sizes (GBs/TBs of data, millions/billions of variables). In Chapter 2 we develop a randomized coordinate descent method for minimizing the sum of a smooth and a simple nonsmooth separable convex function and prove that it obtains an ε-accurate solution with probability at least 1 - p in at most O((n/ε) log(1/p)) iterations, where n is the number of blocks. This extends recent results of Nesterov [43], which cover the smooth case, to composite minimization, while at the same time improving the complexity by the factor of 4 and removing ε from the logarithmic term. More importantly, in contrast with the aforementioned work in which the author achieves the results by applying the method to a regularized version of the objective function with an unknown scaling factor, we show that this is not necessary, thus achieving first true iteration complexity bounds. For strongly convex functions the method converges linearly. In the smooth case we also allow for arbitrary probability vectors and non-Euclidean norms. Our analysis is also much simpler. In Chapter 3 we show that the randomized coordinate descent method developed in Chapter 2 can be accelerated by parallelization. The speedup, as compared to the serial method, and referring to the number of iterations needed to approximately solve the problem with high probability, is equal to the product of the number of processors and a natural and easily computable measure of separability of the smooth component of the objective function. In the worst case, when no degree of separability is present, there is no speedup; in the best case, when the problem is separable, the speedup is equal to the number of processors. Our analysis also works in the mode when the number of coordinates being updated at each iteration is random, which allows for modeling situations with variable (busy or unreliable) number of processors. We demonstrate numerically that the algorithm is able to solve huge-scale l1-regularized least squares problems with a billion variables. In Chapter 4 we extended coordinate descent into a distributed environment. We initially partition the coordinates (features or examples, based on the problem formulation) and assign each partition to a different node of a cluster. At every iteration, each node picks a random subset of the coordinates from those it owns, independently from the other computers, and in parallel computes and applies updates to the selected coordinates based on a simple closed-form formula. We give bounds on the number of iterations sufficient to approximately solve the problem with high probability, and show how it depends on the data and on the partitioning. We perform numerical experiments with a LASSO instance described by a 3TB matrix. Finally, in Chapter 5, we address the issue of using mini-batches in stochastic optimization of Support Vector Machines (SVMs). We show that the same quantity, the spectral norm of the data, controls the parallelization speedup obtained for both primal stochastic subgradient descent (SGD) and stochastic dual coordinate ascent (SCDA) methods and use it to derive novel variants of mini-batched (parallel) SDCA. Our guarantees for both methods are expressed in terms of the original nonsmooth primal problem based on the hinge-loss. Our results in Chapters 2 and 3 are cast for blocks (groups of coordinates) instead of coordinates, and hence the methods are better described as block coordinate descent methods. While the results in Chapters 4 and 5 are not formulated for blocks, they can be extended to this setting.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:630403 |
| Date | January 2014 |
| Creators | Takac, Martin |
| Contributors | Richtarik, Peter; Gondzio, Jacek |
| Publisher | University of Edinburgh |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Source | http://hdl.handle.net/1842/9670 |
Page generated in 0.002 seconds