yorway/proxasaga

Proximal Asynchronous SAGA

ProxASAGA

Code that implements the proximal asynchronous SAGA (ProxASAGA) method described in the paper "Breaking the Nonsmooth Barrier: A Scalable Parallel Method for Composite Optimization", F. Pedregosa, R. Leblond and S. Lacoste-Julien, ArXiv:1707.06468

Compatibility

The code depends on the following tools and libraries:

• gcc (clang will probably work too but you'll need to edit the Makefile accordingly).
• The following python libraries: CFFI, NumPy and SciPy.

The code has been tested on OSX and Linux.

Usage

The algorithmic parts are implemented in C++. To use the code, first type make from the command line. That should compile the code and generate a binary file called libasaga.so. Once this is done you can launch the example in prox_asaga:

$ python prox_asaga.py

This script trains a logistic regression model using ProxASAGA on 1, 2, 3 and 4 processors respectively. If everything worked fine, after ~10 minutes you should see a matplotlib plot like this:

Other implementations

The C-OPT library contains a pure Python implementation (using Numba) of the sequential algorithm. Note that because Numba lacks atomic types, a pure Python implementation of the parallel algorithm is not straightforward.