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Accelerated Proximal Stochastic Dual Coordinate Ascent for Regularized Loss Minimization

Shai Shalev-Shwartz (shais***at***cs.huji.ac.il)
Tong Zhang (tzhang***at***stat.rutgers.edu)

Abstract: We introduce a proximal version of the stochastic dual coordinate ascent method and show how to accelerate the method using an inner-outer iteration procedure. We analyze the runtime of the framework and obtain rates that improve state-of-the-art results for various key machine learning optimization problems including SVM, logistic regression, ridge regression, Lasso, and multiclass SVM. Experiments validate our theoretical findings.

Keywords: Acceleration, proximal methods, coordinate ascent, randomized algorithms, regularized loss minimization

Category 1: Convex and Nonsmooth Optimization

Category 2: Global Optimization (Stochastic Approaches )

Category 3: Applications -- Science and Engineering (Statistics )


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Entry Submitted: 09/10/2013
Entry Accepted: 09/10/2013
Entry Last Modified: 10/08/2013

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