Variance Reduced Coordinate Descent with Acceleration: New Method With a Surprising Application to Finite-Sum Problems

Part of Proceedings of the International Conference on Machine Learning 1 pre-proceedings (ICML 2020)

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Filip Hanzely, Dmitry Kovalev, Peter Richtarik


<p>We propose an accelerated version of stochastic variance reduced coordinate descent -- ASVRCD. As other variance reduced coordinate descent methods such as SEGA or SVRCD, our method can deal with problems that include a non-separable and non-smooth regularizer, while accessing a random block of partial derivatives in each iteration only. However, ASVRCD incorporates Nesterov's momentum, which offers favorable iteration complexity guarantees over both SEGA and SVRCD. As a by-product of our theory, we show that a variant of Katyusha (Allen-Zhu, 2017) is a specific case of ASVRCD, recovering the optimal oracle complexity for the finite sum objective.</p>