Scaling Up Coordinate Descent Algorithms for Large ℓ1 Regularization Problems

Abstract

We present a generic framework for parallel coordinate descent (CD) algorithms that has as special cases the original sequential algorithms of Cyclic CD and Stochastic CD, as well as the recent parallel Shotgun algorithm of Bradley et al. We introduce two novel parallel algorithms that are also special cases---Thread-Greedy CD and Coloring-Based CD---and give performance measurements for an OpenMP implementation of these.