Title: Coordinate Descent with Bandit Sampling,
Abstract: Coordinate descent methods usually minimize a cost function by updating a
random decision variable (corresponding to one coordinate) at a time. Ideally,
we would update the decision variable that yields the largest decrease in the
cost function. However, finding this coordinate would require checking all of
them, which would effectively negate the improvement in computational
tractability that coordinate descent is intended to afford. To address this, we
propose a new adaptive method for selecting a coordinate. First, we find a
lower bound on the amount the cost function decreases when a coordinate is
updated. We then use a multi-armed bandit algorithm to learn which coordinates
result in the largest lower bound by interleaving this learning with
conventional coordinate descent updates except that the coordinate is selected
proportionately to the expected decrease. We show that our approach improves
the convergence of coordinate descent methods both theoretically and
experimentally.