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- Michel Journée, Yurii Nesterov, Peter Richtárik, Rodolphe Sepulchre
- Journal of Machine Learning Research
- 2010

In this paper we develop a new approach to sparse principal component analysis (sparse PCA). We propose two single-unit and two block optimization formulations of the sparse PCA problem, aimed at extracting a single sparse dominant principal component of a data matrix, or more components at once, respectively. While the initial formulations involve… (More)

- Peter Richtárik, Martin Takác
- Math. Program.
- 2014

In this paper we develop a randomized block-coordinate descent method for minimizing the sum of a smooth and a simple nonsmooth block-separable convex function and prove that it obtains an ε-accurate solution with probability at least 1 − ρ in at most O((n/ε) log(1/ρ)) iterations, where n is the number of blocks. This extends recent results of Nesterov… (More)

- Olivier Fercoq, Peter Richtárik
- ArXiv
- 2013

We study the performance of a family of randomized parallel coordinate descent methods for minimizing the sum of a nonsmooth and separable convex functions. The problem class includes as a special case L1-regularized L1 regression and the minimization of the exponential loss (" AdaBoost problem "). We assume the input data defining the loss function is… (More)

- Olivier Fercoq, Peter Richtárik
- SIAM Journal on Optimization
- 2015

We propose a new stochastic coordinate descent method for minimizing the sum of convex functions each of which depends on a small number of coordinates only. Our method (APPROX) is simultaneously Accelerated, Parallel and PROXimal; this is the first time such a method is proposed. In the special case when the number of processors is equal to the number of… (More)

Distributed optimization methods for large-scale machine learning suffer from a communication bottleneck. It is difficult to reduce this bottleneck while still efficiently and accurately aggregating partial work from different machines. In this paper , we present a novel generalization of the recent communication-efficient primal-dual framework (COCOA) for… (More)

- Peter Richtárik, Martin Takác
- Math. Program.
- 2016

In this work we show that randomized (block) coordinate descent methods can be accelerated by parallelization when applied to the problem of minimizing the sum of a partially separable smooth convex function and a simple separable convex function. The theoretical speedup, as compared to the serial method, and referring to the number of iterations needed to… (More)

- Peter Richtárik, Martin Takác
- ArXiv
- 2013

In this paper we develop and analyze Hydra: HYbriD cooRdinAte descent method for solving loss minimization problems with big data. We initially partition the coordinates (features) and assign each partition to a different node of a cluster. At every iteration, each node picks a random subset of the coordinates from those it owns, independently from the… (More)

- Peter Richtárik
- SIAM Journal on Optimization
- 2011

In this paper we propose two modifications to Nesterov's algorithms for minimizing convex functions in relative scale. The first is based on a bisection technique and leads to improved theoretical iteration complexity and the second is a heuristic for avoiding restarting behavior. The fastest of our algorithms produces a solution within relative error… (More)

- Robert M. Gower, Donald Goldfarb, Peter Richtárik
- ICML
- 2016

We propose a novel limited-memory stochastic block BFGS update for incorporating enriched curvature information in stochastic approximation methods. In our method, the estimate of the inverse Hessian matrix that is maintained by it, is updated at each iteration using a sketch of the Hessian, i.e., a randomly generated compressed form of the Hessian. We… (More)

- Peter Richtárik, Martin Takác
- OR
- 2011

In this work we propose solving huge-scale instances of the truss topology design problem with coordinate descent methods. We develop four efficient codes: serial and parallel implementations of randomized and greedy rules for the selection of the variable (potential bar) to be updated in the next iteration. Both serial methods enjoy an O(n/k) iteration… (More)