Greedy Block Coordinate Descent (GBCD) Method for High Dimensional Quadratic Programs

Abstract: High dimensional unconstrained quadratic programs (UQPs) involving massive datasets are now common in application areas such as web, social networks, etc. Unless computational resources that match up to these datasets are available, solving such problems using classical UQP methods is very difficult. This paper discusses alternatives. We first define high dimensional compliant (HDC) methods for UQPs---methods that can solve high dimensional UQPs by adapting to available computational resources. We then show that the class of block Kaczmarz and block coordinate descent (BCD) are the only existing methods that can be made HDC. As a possible answer to the question of the `best' amongst BCD methods for UQP, we propose a novel greedy BCD (GBCD) method with serial, parallel and distributed variants. Convergence rates and numerical tests confirm that the GBCD is indeed an effective method to solve high dimensional UQPs. In fact, it sometimes beats even the conjugate gradient.