Regularized Jacobi iteration for decentralized convex optimization with separable constraints

We consider multi-agent, convex optimization programs subject to separable constraints, where the constraint function of each agent involves only its local decision vector, while the decision vectors of all agents are coupled via a common objective function. We focus on a regularized variant of the so called Jacobi algorithm for decentralized computation in such problems. We first consider the case where the objective function is quadratic, and provide a fixed-point theoretic analysis showing that the algorithm converges to a minimizer of the centralized problem. Moreover, we quantify the potential benefits of such an iterative scheme by comparing it against a scaled projected gradient algorithm. We then consider the general case and show that all limit points of the proposed iteration are optimal solutions of the centralized problem. The efficacy of the proposed algorithm is illustrated by applying it to the problem of optimal charging of electric vehicles, where, as opposed to earlier approaches, we show convergence to an optimal charging scheme for a finite, possibly large, number of vehicles

Flexible Parallel Algorithms for Big Data Optimization

We propose a decomposition framework for the parallel optimization of the sum of a differentiable function and a (block) separable nonsmooth, convex one. The latter term is typically used to enforce structure in the solution as, for example, in Lasso problems. Our framework is very flexible and includes both fully parallel Jacobi schemes and Gauss-Seidel (Southwell-type) ones, as well as virtually all possibilities in between (e.g., gradient- or Newton-type methods) with only a subset of variables updated at each iteration. Our theoretical convergence results improve on existing ones, and numerical results show that the new method compares favorably to existing algorithms.Comment: submitted to IEEE ICASSP 201

Parallel Selective Algorithms for Big Data Optimization

We propose a decomposition framework for the parallel optimization of the sum of a differentiable (possibly nonconvex) function and a (block) separable nonsmooth, convex one. The latter term is usually employed to enforce structure in the solution, typically sparsity. Our framework is very flexible and includes both fully parallel Jacobi schemes and Gauss- Seidel (i.e., sequential) ones, as well as virtually all possibilities "in between" with only a subset of variables updated at each iteration. Our theoretical convergence results improve on existing ones, and numerical results on LASSO, logistic regression, and some nonconvex quadratic problems show that the new method consistently outperforms existing algorithms.Comment: This work is an extended version of the conference paper that has been presented at IEEE ICASSP'14. The first and the second author contributed equally to the paper. This revised version contains new numerical results on non convex quadratic problem

Fixed-point and coordinate descent algorithms for regularized kernel methods

In this paper, we study two general classes of optimization algorithms for kernel methods with convex loss function and quadratic norm regularization, and analyze their convergence. The first approach, based on fixed-point iterations, is simple to implement and analyze, and can be easily parallelized. The second, based on coordinate descent, exploits the structure of additively separable loss functions to compute solutions of line searches in closed form. Instances of these general classes of algorithms are already incorporated into state of the art machine learning software for large scale problems. We start from a solution characterization of the regularized problem, obtained using sub-differential calculus and resolvents of monotone operators, that holds for general convex loss functions regardless of differentiability. The two methodologies described in the paper can be regarded as instances of non-linear Jacobi and Gauss-Seidel algorithms, and are both well-suited to solve large scale problems

CoCoA: A General Framework for Communication-Efficient Distributed Optimization

The scale of modern datasets necessitates the development of efficient distributed optimization methods for machine learning. We present a general-purpose framework for distributed computing environments, CoCoA, that has an efficient communication scheme and is applicable to a wide variety of problems in machine learning and signal processing. We extend the framework to cover general non-strongly-convex regularizers, including L1-regularized problems like lasso, sparse logistic regression, and elastic net regularization, and show how earlier work can be derived as a special case. We provide convergence guarantees for the class of convex regularized loss minimization objectives, leveraging a novel approach in handling non-strongly-convex regularizers and non-smooth loss functions. The resulting framework has markedly improved performance over state-of-the-art methods, as we illustrate with an extensive set of experiments on real distributed datasets

A Second Order Non-Smooth Variational Model for Restoring Manifold-Valued Images

We introduce a new non-smooth variational model for the restoration of manifold-valued data which includes second order differences in the regularization term. While such models were successfully applied for real-valued images, we introduce the second order difference and the corresponding variational models for manifold data, which up to now only existed for cyclic data. The approach requires a combination of techniques from numerical analysis, convex optimization and differential geometry. First, we establish a suitable definition of absolute second order differences for signals and images with values in a manifold. Employing this definition, we introduce a variational denoising model based on first and second order differences in the manifold setup. In order to minimize the corresponding functional, we develop an algorithm using an inexact cyclic proximal point algorithm. We propose an efficient strategy for the computation of the corresponding proximal mappings in symmetric spaces utilizing the machinery of Jacobi fields. For the n-sphere and the manifold of symmetric positive definite matrices, we demonstrate the performance of our algorithm in practice. We prove the convergence of the proposed exact and inexact variant of the cyclic proximal point algorithm in Hadamard spaces. These results which are of interest on its own include, e.g., the manifold of symmetric positive definite matrices