Talk
Breaking Locality Accelerates Block Gauss-Seidel
Stephen Tu · Shivaram Venkataraman · Ashia Wilson · Alex Gittens · Michael Jordan · Benjamin Recht
Parkside 2
Recent work by Nesterov and Stich (2016) showed that momentum can be used to accelerate the rate of convergence for block Gauss-Seidel in the setting where a fixed partitioning of the coordinates is chosen ahead of time. We show that this setting is too restrictive, constructing instances where breaking locality by running non-accelerated Gauss-Seidel with randomly sampled coordinates substantially outperforms accelerated Gauss-Seidel with any fixed partitioning. Motivated by this finding, we analyze the accelerated block Gauss-Seidel algorithm in the random coordinate sampling setting. Our analysis captures the benefit of acceleration with a new data-dependent parameter which is well behaved when the matrix sub-blocks are well-conditioned. Empirically, we show that accelerated Gauss-Seidel with random coordinate sampling provides speedups for large scale machine learning tasks when compared to non-accelerated Gauss-Seidel and the classical conjugate-gradient algorithm.
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