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Parallel Coordinate Descent for L1-Regularized Loss Minimization

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 نشر من قبل Danny Bickson
 تاريخ النشر 2011
  مجال البحث الهندسة المعلوماتية
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We propose Shotgun, a parallel coordinate descent algorithm for minimizing L1-regularized losses. Though coordinate descent seems inherently sequential, we prove convergence bounds for Shotgun which predict linear speedups, up to a problem-dependent limit. We present a comprehensive empirical study of Shotgun for Lasso and sparse logistic regression. Our theoretical predictions on the potential for parallelism closely match behavior on real data. Shotgun outperforms other published solvers on a range of large problems, proving to be one of the most scalable algorithms for L1.



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