LGJun 27, 2012
Scaling Up Coordinate Descent Algorithms for Large $\ell_1$ Regularization ProblemsChad Scherrer, Mahantesh Halappanavar, Ambuj Tewari et al.
We present a generic framework for parallel coordinate descent (CD) algorithms that includes, as special cases, the original sequential algorithms Cyclic CD and Stochastic CD, as well as the recent parallel Shotgun algorithm. We introduce two novel parallel algorithms that are also special cases---Thread-Greedy CD and Coloring-Based CD---and give performance measurements for an OpenMP implementation of these.