Analyzing random permutations for cyclic coordinate descent

Abstract

We consider coordinate descent methods on convex quadratic problems, in which exact line searches are performed at each iteration. (This algorithm is identical to Gauss-Seidel on the equivalent symmetric positive definite linear system.) We describe a class of convex quadratic problems for which the random-permutations version of cyclic coordinate descent (RPCD) outperforms the standard cyclic coordinate descent (CCD) approach, yielding convergence behavior similar to the fully-random variant (RCD). A convergence analysis is developed to explain the empirical observations.