Coordinate descent with arbitrary sampling I: algorithms and complexity<sup>†</sup>
Coordinate descent with arbitrary sampling I: algorithms and complexity<sup>†</sup>
We study the problem of minimizing the sum of a smooth convex function and a convex block-separable regularizer and propose a new randomized coordinate descent method, which we call ALPHA. Our method at every iteration updates a random subset of coordinates, following an arbitrary distribution. No coordinate descent methods capable …