We study the performance of a family of randomized parallel coordinate descent methods for minimizing the sum of a nonsmooth and separable convex functions. The problem class includes as a special case L1-regularized L1 regression and the minimization of the exponential loss (``AdaBoost problem''). We assume the input data defining the loss function is contained in a sparse $m \times n$ matrix $A$ with at most $\omega$ nonzeros in each row. Our methods need $O(n \beta / \tau)$ iterations to find an approximate solution with high probability, where $\tau$ is the number of processors and $\beta = 1 + (\omega-1)(\tau-1)/(n-1)$ for the fastest variant. The notation hides dependence on quantities such as the required accuracy and confidence levels and the distance of the starting iterate from an optimal point. Since $\beta / \tau$ is a decreasing function of $\tau$, the method needs fewer iterations when more processors are used. Certain variants of our algorithms perform on average only $O(\nnz(A) / n)$ arithmetic operations during a single iteration per processor and, because $\beta$ decreases when $\omega$ does, fewer iterations are needed for sparser problems.

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View Smooth minimization of nonsmooth functions with parallel coordinate descent methods