Hoyt Koepke

Coordinate Descent Converges Faster with the Gauss-Southwell Rule Than Random Selection

There has been significant recent work on the theory and application of randomized coordinate descent algorithms, beginning with the work of  Nesterov [SIAM J. Optim., 22(2), 2012], who showed that a random-coordinate selection rule achieves the same convergence rate as the Gauss-Southwell selection…