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A Primer on Coordinate Descent Algorithms

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arxiv 1610.00040 v2 pith:IJUEHVJB submitted 2016-09-30 math.OC stat.ML

A Primer on Coordinate Descent Algorithms

classification math.OC stat.ML
keywords coordinatealgorithmsdescentoptimizationproblemsclassmonographalong
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This monograph presents a class of algorithms called coordinate descent algorithms for mathematicians, statisticians, and engineers outside the field of optimization. This particular class of algorithms has recently gained popularity due to their effectiveness in solving large-scale optimization problems in machine learning, compressed sensing, image processing, and computational statistics. Coordinate descent algorithms solve optimization problems by successively minimizing along each coordinate or coordinate hyperplane, which is ideal for parallelized and distributed computing. Avoiding detailed technicalities and proofs, this monograph gives relevant theory and examples for practitioners to effectively apply coordinate descent to modern problems in data science and engineering.

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