Parallel block coordinate descent methods with identification strategies

This work presents a parallel variant of the algorithm introduced in [Acceleration of block coordinate descent methods with identification strategies Comput. Optim. Appl. 72(3):609--640, 2019] to minimize the sum of a partially separable smooth convex function and a possibly non-smooth block-separable convex function under simple constraints. It achieves better efficiency by using a strategy to identify the nonzero coordinates that allows the computational effort to be focused on using a nonuniform probability distribution in the selection of the blocks. Parallelization is achieved by extending the theoretical results from Richtárik and Takáč [Parallel coordinate descent methods for big data optimization, Math. Prog. Ser. A 156:433--484, 2016]. We present convergence results and comparative numerical experiments on regularized regression problems using both synthetic and real data.