Scaling Up Stochastic Dual Coordinate Ascent

Stochastic Dual Coordinate Ascent (SDCA) has recently emerged as a state-of-the-art method for solving large-scale supervised learning problems formulated as minimization of convex loss functions. It performs iterative, random coordinate updates to maximize the dual objective. Due to the sequential nature of the iterations, it is typically implemented as a single-threaded algorithm limited to in memory datasets. In this paper, we introduce an asynchronous parallel version of the algorithm, analyze its convergence properties, and propose a solution for primal-dual synchronization required to achieve convergence in practice. In addition, we describe a method for scaling the algorithm to out-of-memory datasets via multi-threaded deserialization of block-compressed data. This approach yields sufficient pseudo-randomness to provide the same convergence rate as random-order in-memory access. Empirical evaluation demonstrates the efficiency of the proposed methods and their ability to fully utilize computational resources and scale to out-of-memory datasets.