An Asynchronous Parallel Stochastic Coordinate Descent Algorithm

Ji Liu, Stephen J. Wright, Christopher Ré, Victor Bittorf, Srikrishna Sridhar.

Year: 2015, Volume: 16, Issue: 10, Pages: 285−322


We describe an asynchronous parallel stochastic coordinate descent algorithm for minimizing smooth unconstrained or separably constrained functions. The method achieves a linear convergence rate on functions that satisfy an essential strong convexity property and a sublinear rate ($1/K$) on general convex functions. Near-linear speedup on a multicore system can be expected if the number of processors is $O(n^{1/2})$ in unconstrained optimization and $O(n^{1/4})$ in the separable- constrained case, where $n$ is the number of variables. We describe results from implementation on 40-core processors.