Asynchronous parallel primal-dual block update methods

Recent several years have witnessed the surge of asynchronous (async-) parallel computing methods due to the extremely big data involved in many modern applications and also the advancement of multi-core machines and computer clusters. In optimization, most works about async-parallel methods are on unconstrained problems or those with block separable constraints. In this paper, we propose an async-parallel method based on block coordinate update (BCU) for solving convex problems with nonseparable linear constraint. Running on a single node, the method becomes a novel randomized primal-dual BCU with adaptive stepsize for multi-block affinely constrained problems. For these problems, Gauss-Seidel cyclic primal-dual BCU needs strong convexity to have convergence. On the contrary, merely assuming convexity, we show that the objective value sequence generated by the proposed algorithm converges in probability to the optimal value and also the constraint residual to zero. In addition, we establish an ergodic O(1/k) convergence result, where k is the number of iterations. Numerical experiments are performed to demonstrate the efficiency of the proposed method and significantly better speed-up performance than its sync-parallel counterpart.