Daoli Zhu

Linear Convergence of Randomized Primal-Dual Coordinate Method for Large-scale Linear Constrained Convex Programming

Linear constrained convex programming has many practical applications, including support vector machine and machine learning portfolio problems. We propose the randomized primal-dual coordinate (RPDC) method, a randomized coordinate extension of the first-order primal-dual method by Cohen and Zhu, 1…