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TMAC: A Toolbox of Modern Async-Parallel, Coordinate, Splitting, and Stochastic Methods

Brent Edmunds(brent.edmunds***at***math.ucla.edu)
Zhimin Peng(zhiminp***at***gmail.com)
Wotao Yin(wotaoyin***at***math.ucla.edu)

Abstract: TMAC is a toolbox written in C++11 that implements algorithms based on a set of mod- ern methods for large-scale optimization. It covers a variety of optimization problems, which can be both smooth and nonsmooth, convex and nonconvex, as well as constrained and unconstrained. The algorithms implemented in TMAC, such as the coordinate up- date method and operator splitting method, are scalable as they decompose a problem into simple subproblems. These algorithms can run in a multi-threaded fashion, either synchronously or asynchronously, to take advantages of all the cores available. TMAC ar- chitecture mimics how a scientist writes down an optimization algorithm. Therefore, it is easy for one to obtain a new algorithm by making simple modifications such as adding a new operator and adding a new splitting, while maintaining the multicore parallelism and other features. The package is available at https://github.com/uclaopt/TMAC.

Keywords: Asynchronous, Parallel, Operator Splitting, Optimization, Coordinate Up- date, Stochastic Methods

Category 1: Optimization Software and Modeling Systems (Parallel Algorithms )

Category 2: Convex and Nonsmooth Optimization (Nonsmooth Optimization )


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Entry Submitted: 06/10/2016
Entry Accepted: 06/13/2016
Entry Last Modified: 06/10/2016

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