Adaptive Stochastic Primal-Dual Coordinate Descent for Separable Saddle Point Problems

We consider a generic convex-concave saddle point problem with a separable structure, a form that covers a wide-ranged machine learning applications. Under this problem structure, we follow the framework of primal-dual updates for saddle point problems, and incorporate stochastic block coordinate descent with adaptive stepsizes into this framework. We theoretically show that our proposal of adaptive stepsizes potentially achieves a sharper linear convergence rate compared with the existing methods. Additionally, since we can select “mini-batch” of block coordinates to update, our method is also amenable to parallel processing for large-scale data. We apply the proposed method to regularized empirical risk minimization and show that it performs comparably or, more often, better than state-of-the-art methods on both synthetic and real-world data sets.