Title: Approximate Steepest Coordinate Descent,
Abstract: We propose a new selection rule for the coordinate selection in coordinate
descent methods for huge-scale optimization. The efficiency of this novel
scheme is provably better than the efficiency of uniformly random selection,
and can reach the efficiency of steepest coordinate descent (SCD), enabling an
acceleration of a factor of up to $n$, the number of coordinates. In many
practical applications, our scheme can be implemented at no extra cost and
computational efficiency very close to the faster uniform selection. Numerical
experiments with Lasso and Ridge regression show promising improvements, in
line with our theoretical guarantees.