Accelerating block coordinate descent methods with identification strategies

Autor(es)

Lopes, R. ^[1] ; Santos, S. A. ^[1] ; Silva, P. J. S. ^[1]

Afiliação do(s) autor(es)

^[1] Univ Estadual Campinas, Inst Math, Rua Sergio Buarque de Holanda 651, BR-13083859 Campinas, SP - Brazil

• Tipo de documento: Artigo Científico
• Fonte: COMPUTATIONAL OPTIMIZATION AND APPLICATIONS; v. 72, n. 3, p. 609-640, APR 2019.
• Citações Web of Science: 0

Resumo

This work is about active set identification strategies aimed at accelerating block-coordinate descent methods (BCDM) applied to large-scale problems. We start by devising an identification function tailored for bound-constrained composite minimization together with an associated version of the BCDM, called Active BCDM, that is also globally convergent. The identification function gives rise to an efficient practical strategy for Lasso and 1-regularized logistic regression. The computational performance of Active BCDM is contextualized using comparative sets of experiments that are based on the solution of problems with data from deterministic instances from the literature. These results have been compared with those of well-established and state-of-the-art methods that are particularly suited for the classes of applications under consideration. Active BCDM has proved useful in achieving fast results due to its identification strategy. Besides that, an extra second-order step was used, with favorable cost-benefit. (AU)

• Processo FAPESP: 14/14228-6 - Métodos de descenso coordenado por blocos e identificação de restrições ativas em otimização de porte enorme
• Beneficiário: Ronaldo Lopes
• Modalidade de apoio: Bolsas no Brasil - Doutorado
• Processo FAPESP: 13/05475-7 - Métodos computacionais de otimização
• Beneficiário: Sandra Augusta Santos
• Modalidade de apoio: Auxílio à Pesquisa - Temático
• Processo FAPESP: 13/07375-0 - CeMEAI - Centro de Ciências Matemáticas Aplicadas à Indústria
• Beneficiário: Francisco Louzada Neto
• Modalidade de apoio: Auxílio à Pesquisa - Centros de Pesquisa, Inovação e Difusão - CEPIDs