Courant Institute of Mathematical Sciences
Mathematics Colloquium
December 7, 2015
Speaker: Stephen J. Wright, University of Wisconsin-Madison
Title: Coordinate Descent Algorithms
Abstract:
There is renewed interest in elementary methods for optimization, sparked in large part
by applications in data analysis. Prominent among these methods is coordinate descent, in
which functions are minimized by searching successively along coordinate directions or
hyperplanes. Several practical extensions of this approach have been proposed, including
efficient implementations of Nesterov acceleration, randomized versions, asynchronous
parallel execution, and extensions to nonsmooth objectives. New theory has improved
our understanding of the convergence behavior of these methods, though numerous
aspects remain unexplained. This talk will survey these recent developments, outline
problem classes in which the approach is useful, and describe several open questions.