Coordinate descent

Coordinate descent is a derivative-free optimization algorithm. To find a local minimum of a function, one does line search along one coordinate direction at the current point in each iteration. One uses different coordinate directions cyclically throughout the procedure.

Description

Coordinate descent is based on the idea that the minimization of a multivariable function can be achieved by minimizing it along one direction at a time, i.e., solving univariate (or at least much simpler) optimization problems in a loop.[1] In the simplest case of cyclic coordinate descent, one cyclically iterates through the directions, one at a time, minimizing the objective function with respect to each coordinate direction at a time. That is, starting with initial variable values

,

round defines from by iteratively solving the single variable optimization problems

for each variable of , for from 1 to .

Thus, one begins with an initial guess for a local minimum of , and gets a sequence iteratively.

By doing line search in each iteration, one automatically has

It can be shown that this sequence has similar convergence properties as steepest descent. No improvement after one cycle of line search along coordinate directions implies a stationary point is reached.

This process is illustrated below.

Differentiable case

In the case of a continuously differentiable function F, a coordinate descent algorithm can be sketched as:[1]

  • Choose an initial parameter vector x.
  • Until convergence is reached, or for some fixed number of iterations:
    • Choose an index i from 1 to n.
    • Choose a step size α.
    • Update xi to xi − α∂F/∂xi(x).

The step size can be chosen in various ways, e.g., by solving for the exact minimizer of f(xi) = F(x) (i.e., F with all variables but xi fixed), or by traditional line search criteria.[1]

Limitations

Coordinate descent has two problems. One of them is having a non-smooth multivariable function. The following picture shows that coordinate descent iteration may get stuck at a non-stationary point if the level curves of a function are not smooth. Suppose that the algorithm is at the point (-2, -2); then there are two axis-aligned directions it can consider for taking a step, indicated by the red arrows. However, every step along these two directions will increase the objective function's value (assuming a minimization problem), so the algorithm will not take any step, even though both steps together would bring the algorithm closer to the optimum.

The other problem is difficulty in parallelism. Since the nature of Coordinate Descent is to cycle through the directions and minimize the objective function with respect to each coordinate direction, Coordinate Descent is not an obvious candidate for massive parallelism. Recent research works have shown that massive parallelism is applicable to Coordinate Descent by relaxing the change of the objective function with respect to each coordinate direction. [2][3][4]

Applications

Coordinate descent algorithms are popular with practitioners owing to their simplicity, but the same property has led optimization researchers to largely ignore them in favor of more interesting (complicated) methods.[1] An early application of coordinate descent optimization was in the area of computed tomography[5] where it has been found to have rapid convergence[6] and was subsequently used for clinical multi-slice helical scan CT reconstruction.[7] Moreover, there has been increased interest in the use of coordinate descent with the advent of large-scale problems in machine learning, where coordinate descent has been shown competitive to other methods when applied to such problems as training linear support vector machines[8] (see LIBLINEAR) and non-negative matrix factorization.[9] They are attractive for problems where computing gradients is infeasible, perhaps because the data required to do so are distributed across computer networks.[10]

See also

References

  1. 1 2 3 4 Wright, Stephen J. (2015). "Coordinate descent algorithms". Mathematical Programming. 151 (1): 3–34. arXiv:1502.04759Freely accessible. doi:10.1007/s10107-015-0892-3.
  2. ↑ Zheng, J.; Saquib, S. S.; Sauer, K.; Bouman, C. A. (2000-10-01). "Parallelizable Bayesian tomography algorithms with rapid, guaranteed convergence". IEEE Transactions on Image Processing. 9 (10): 1745–1759. doi:10.1109/83.869186. ISSN 1057-7149.
  3. ↑ Fessler, J. A.; Ficaro, E. P.; Clinthorne, N. H.; Lange, K. (1997-04-01). "Grouped-coordinate ascent algorithms for penalized-likelihood transmission image reconstruction". IEEE Transactions on Medical Imaging. 16 (2): 166–175. doi:10.1109/42.563662. ISSN 0278-0062.
  4. ↑ Wang, Xiao; Sabne, Amit; Kisner, Sherman; Raghunathan, Anand; Bouman, Charles; Midkiff, Samuel (2016-01-01). "High Performance Model Based Image Reconstruction". Proceedings of the 21st ACM SIGPLAN Symposium on Principles and Practice of Parallel Programming. PPoPP '16. New York, NY, USA: ACM: 2:1–2:12. doi:10.1145/2851141.2851163. ISBN 9781450340922.
  5. ↑ Sauer, Ken; Bouman, Charles (February 1993). "A Local Update Strategy for Iterative Reconstruction from Projections" (PDF). IEEE Trans. on Sig. Proc. 41 (2): 534-548. doi:10.1109/78.193196.
  6. ↑ Yu, Zhou; Thibault, Jean-Baptiste; Bouman, Charles; Sauer, Ken; Hsieh, Jiang (January 2011). "Fast Model-Based X-ray CT Reconstruction Using Spatially Non-Homogeneous ICD Optimization" (PDF). IEEE Trans. on Image Processing. 20 (1): 161-175. doi:10.1109/TIP.2010.2058811.
  7. ↑ Thibault, Jean-Baptiste; Sauer, Ken; Bouman, Charles; Hsieh, Jiang (November 2007). "A Three-Dimensional Statistical Approach to Improved Image Quality for Multi-Slice Helical CT" (PDF). Medical Physics. 34 (11): 4526-4544. doi:10.1118/1.2789499.
  8. ↑ Hsieh, C. J.; Chang, K. W.; Lin, C. J.; Keerthi, S. S.; Sundararajan, S. (2008). "A dual coordinate descent method for large-scale linear SVM". Proceedings of the 25th international conference on Machine learning - ICML '08 (PDF). p. 408. doi:10.1145/1390156.1390208. ISBN 9781605582054.
  9. ↑ Hsieh, C. J.; Dhillon, I. S. (2011). Fast coordinate descent methods with variable selection for non-negative matrix factorization (PDF). Proceedings of the 17th ACM SIGKDD international conference on Knowledge discovery and data mining - KDD '11. p. 1064. doi:10.1145/2020408.2020577. ISBN 9781450308137.
  10. ↑ Nesterov, Yurii (2012). "Efficiency of coordinate descent methods on huge-scale optimization problems" (PDF). SIAM J. Optimization. 22 (2): 341–362. doi:10.1137/100802001.
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