A Stochastic Coordinate Descent Primal-Dual Algorithm And Applications

Publication Type:

Conference Paper

Source:

IEEE International Workshop on Machine Learning for Signal Processing (MLSP) (2014)

Abstract:

First, we introduce a splitting algorithm to minimize a sum of three convex functions. The algorithm is of primal dual kind and is inspired by recent results of Vu and Condat. Second, we provide a randomized version of the algorithm based on the idea of coordinate descent. Finally, we address two applications of our method: (i) for stochastic minibatch optimization; and (ii) for distributed optimization.

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