A Coordinate Descent Primal-Dual Algorithm and Application to Distributed Asynchronous Optimization
A Coordinate Descent Primal-Dual Algorithm and Application to Distributed Asynchronous Optimization
Based on the idea of randomized coordinate descent of α-averaged operators, a randomized primal-dual optimization algorithm is introduced, where a random subset of coordinates is updated at each iteration. The algorithm builds upon a variant of a recent (deterministic) algorithm proposed by Vũ and Condat that includes the well-known Alternating …