
arXiv: 1706.00908
We consider coordinate descent methods on convex quadratic problems, in which exact line searches are performed at each iteration. (This algorithm is identical to Gauss-Seidel on the equivalent symmetric positive definite linear system.) We describe a class of convex quadratic problems for which the random-permutations version of cyclic coordinate descent (RPCD) outperforms the standard cyclic coordinate descent (CCD) approach, yielding convergence behavior similar to the fully-random variant (RCD). A convergence analysis is developed to explain the empirical observations.
Iterative numerical methods for linear systems, Convex programming, permutations, Randomized algorithms, Gauss-Seidel method, randomization, coordinate descent, Optimization and Control (math.OC), FOS: Mathematics, Mathematics - Optimization and Control
Iterative numerical methods for linear systems, Convex programming, permutations, Randomized algorithms, Gauss-Seidel method, randomization, coordinate descent, Optimization and Control (math.OC), FOS: Mathematics, Mathematics - Optimization and Control
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