Peter RichtárikAssistant ProfessorSchool of Mathematics 6317 JCMB The King's Buildings University of Edinburgh Edinburgh, EH9 3JZ e-mail: first.last at ed.ac.uk phone: +44 (131) 650-5049 |
I am a member of the Edinburgh Research Group in Optimization (ERGO) Edinburgh Compressed Sensing Group (E-CoS) Centre for Numerical Algorithms and Intelligent Software (NAIS) Algorithms and Complexity Group (A&C) |
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News Education Publications Software Talks Team Grants Teaching | ||
News
I am organizing: Optimization and Big Data (workshop, trek and colloquium), Edinburgh, May 1-3, 2013
[website & registration] If you are of an exceptional mathematical talent and are interested in working with me as a PhD student or a postdoc, please send me an email. ---------------------------------------------------------------------------------------------------------------------------------------------------------------------March 20 2013: During March 19-21 I am in Paris, giving a talk today at Fête Parisienne in Computation, Inference and Optimization. March 18, 2013: My EPSRC ``First Grant'' proposal Accelerated Coordinate Descent Methods for Big Data Problems was approved. I will be advertising a 2 year postdoc position soon (most probably starting sometime between June 1st 2013 and September 1st 2013). It is likely the postdoc will be able to spend a few weeks at UC Berkeley in the period September-December 2013, participating in the Foundations of Big Data Analysis programme at the Simons Institute for the Theory of Computing. March 18, 2013: Jakub Konečný has been awarded the Principal's Career Development Scholarship and will be joining the group as a PhD student starting in August 2013. He will spend his first semester at University of California Berkeley as a visiting student affiliated with the newly established Simons Institute for the Theory of Computing and will participate in the Theoretical Foundations of Big Data Analysis programme. Short bio: Jakub studied mathematics at Comenius University, Slovakia. In the past he represented his country in the International Mathematical Olympiad. Most recently, together with another student teammate, Jakub won 2nd place at the ChaLearn Gesture Challenge Competition - an international contest in designing a one-shot video gesture recognition system. Here is a brief news story. Jakub was invited to present the results at the 21st International Conference on Pattern Recognition in Tsukuba, Japan, and was invited to submit a paper describing the system to a special issue of the Journal of Machine Learning Research. March 14, 2013: Poster announcement. GPU acceleration of financial models. GPU Technology Conference, San Jose, California. Joint with Christos Delivorias, Erick Vynckier and Martin Takáč. Based on 2012 MSc thesis Case studies in acceleration of Heston's stochastic volatility financial engineering model: GPU, cloud and FPGA implementations of Christos Delivorias at the School of Mathematics, University of Edinburgh. March 12, 2013: New paper announcement: Mini-batch primal and dual methods for SVMs, coauthored with Martin Takáč, Avleen Bijral and Nathan Srebro. Brief blurb: We parallelize Pegasos (stochastic subgradient descent) and SDCA (stochastic dual coordinate ascent) for support vector machines and prove that the theoretical parallelization speedup factor of both methods is the same, and depends on the spectral norm of the data. The SDCA approach is primal-dual in nature, our guarantees are given in terms of the original hinge loss formulation of SVMs. March 6, 2013: Today I gave a talk at the Annual meeting of the Edinburgh SIAM Student Chapter. March 5, 2013: Martin Takáč has become a finalist in the 16th IMA Leslie Fox Prize competition. The Leslie Fox Prize for Numerical Analysis of the Institute of Mathematics and its Applications (IMA) is a biennial prize established in 1985 by the IMA in honour of mathematician Leslie Fox (1918-1992). The prize honours "young numerical analysts worldwide" (any person who is less than 31 years old), and applicants submit papers for review. A committee reviews the papers, invites shortlisted candidates to give lectures at the Leslie Fox Prize meeting, and then awards First Prize and Second Prizes based on "mathematical and algorithmic brilliance in tandem with presentational skills". The prize meeting will be held on June 24, 2013 at ICMS. March 5, 2013: I am attending Optimization in Energy Day, International Centre for Mathematical Sciences, Edinburgh. February 26, 2013: Today I am attending (and giving a talk at) Big Data and Social Media, a workshop organized by Des Higham at Strathclyde university. February 21, 2013: I am giving a "Research Recap" talk during the Innovative Learning Week at the University of Edinburgh. February 4-6, 2013: Visiting Université Catholique de Louvain, Belgium, and giving a talk at the CORE mathematical programming seminar. January 30, 2013: Giving a talk at the ERGO research seminar. January 6-11, 2013: I am speaking at Optimization and Statistical Learning; a workshop in Les Houches, France, on the slopes of Mont Blanc. December 17, 2012: New paper is out: Alternating maximization: unifying framework for 8 sparse PCA formulations and efficient parallel codes, joint work with Martin Takáč and Selin Damla Ahipasaoglu. December 16, 2012: I am organizing Optimization and Big Data (workshop, trek and colloquium; a sequel to this 2012 event). This event will be held in Edinburgh during May 1-3, 2013. Headline speaker: Steve Wright (Wisconsin-Madison). More info and website later. December 11, 2012: I am giving a talk at the Numerical Analysis seminar, University of Strathclyde. December 10, 2012: New paper is out: Optimal diagnostic tests for sporadic Creutzfeldt-Jakob disease based on SVM classification of RT-QuIC data, joint work with William Hulme, Lynne McGuire and Alison Green. In brief, we come up with optimal tests for detecting the sporadic Creutzfeldt-Jakob disease. December 7, 2012: Five 3-year Whittaker Postdoctoral Fellowships in the School of Mathematics. If you are an exceptional candidate and are interested in working with me, send me an email. Closing date for applications: January 22, 2013. Starting date: no later than Sept 1, 2013. December 4, 2012: Our group has an opening: Visiting Assistant Professor position (=2.5 year Lectureship). Closing date of applications: January 22, 2013. November 23, 2012: New paper is out: Parallel coordinate descent methods for big data optimization, joint work with Martin Takáč. Brief info: We propose and analyze a rich family of randomized parallel block coordinate descent methods and show that parallelization leads to acceleration on partially separable problems, which naturally occur in many big data application. We give simple expressions for the speedup factors. We have tested one of our methods on a huge-scale LASSO instance with 1 billion variables; while a serial coordinate descent method needs 41 hours to converge, when 24 processors are used, the parallel method needs just 2 hours. Download the code here. November 15-December 23, 2012: Martin Takáč is on a research visit to SUTD (Singapore University of Technology and Design). October 26, 2012: I am giving a short talk, representing the School of Mathematics, at a miniworkshop organized around the visit of Stephen Emmott (Head of Computational Science @ Microsoft Research) to Edinburgh. The slides do not make much sense without the voice-over, but here they are anyway. October 21-November 11, 2012: Martin Takáč is on a research visit to TTI Chicago. October 11-17, 2012: I am at the INFORMS Annual Meeting in Phoenix, Arizona. October 3, 2012: Martin Takáč was successful in the INFORMS Computing Society Student Paper Award Competition. As the sole runner-up, he won the 2nd prize with the paper Iteration Complexity of Randomized Block-Coordinate Descent Methods for Minimizing a Composite Function, coauthored with myself. INFORMS (Institute for Operations Research and the Management Sciences) is the largest professional society in the world for professionals in the field of operations research, management science, and business analytics. October 1, 2012: Olivier Fercoq joined the group as a Postdoctoral Researcher. He will be working on the Mathematics for Vast Digital Resources project funded by EPSRC. Dr Fercoq obtained his PhD in September 2012 from CMAP, École Polytechnique, France, under the supervision of Stéphane Gaubert. His PhD dissertation: Optimization of Perron eigenvectors and applications: from web ranking to chronotherapeutics. September 2012: I am now a NAIS Lecturer; i.e., I am more closely affiliated with the Centre for Numerical Algorithms and Intelligent Software (I was a NAIS member before). September 2012: Minnan Luo (Tsinghua University) joined the group as a visiting PhD student - she will stay for 6 months. Minnan is the recipient of the 2012 Google China Anita Borg Scholarship. September 9-12, 2012: I am in Birmingham at the 3rd IMA Conference on Numerical Linear Algebra and Optimization. Edinburgh has 10 people in attendance + a few alumni. August 2012: 16 members of ERGO are attending ISMP Berlin! July 2012: I am organizing (with F. Glineur) the ICCOPT (July 29 - Aug 1, 2013, Lisbon, Portugal) cluster "Convex and Nonsmooth Optimization". If you want to give a talk in a session in the cluster and/or organize a session yourself, please let me know. July 2012: Some of my work was covered by Steve Wright in a Graduate Summer School on 'Deep Learning' at IPAM/UCLA; see slides 65-67 here (analysis of Hogwild!) and slides 95-102 here (coordinate descent). June 16-23, 2012: I am visiting the Wisconsin Institutes for Discovery, University of Wisconsin-Madison. May 2012: Martin Takáč won the Best Talk Prize at the SIAM National Student Chapter conference in Manchester. |
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Education & Past AppointmentsPostdoctoral Fellow, CORE, Louvain-la-Neuve, Belgium, 2007–2009, host: Yurii NesterovPhD, Operations Research, Cornell University, 2002–2007, advisor: Mike Todd MS, Operations Research, Cornell University, 2006 Mgr, Mathematics, Comenius University, Faculty of Mathematics, Physics and Informatics, 2001 (Summa Cum Laude) Bc, Management, Comenius University, Faculty of Management, 2000 (Summa Cum Laude) Bc, Mathematics, Comenius University, Faculty of Mathematics, Physics and Informatics, 2000 (Summa Cum Laude) |
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Publications & Preprints Mini-batch primal and dual methods for SVMs Alternating maximization: unifying framework for 8 sparse PCA formulations and efficient parallel codes Optimal diagnostic tests for sporadic Creutzfeldt-Jakob disease based on SVM classification of RT-QuIC data Parallel coordinate descent methods for big data optimization Efficient serial and parallel coordinate descent methods
for huge-scale truss topology design Iteration complexity of
randomized block-coordinate descent methods for minimizing a composite
function Efficiency
of randomized coordinate descent methods on minimization problems with
a composite objective function Michel Journée, Yurii Nesterov, Peter Richtárik and Rodolphe Sepulchre [CORE DP] [arXiv] [Optimization Online] [slides] [poster] Journal of Machine Learning Research 11, pp. 517–553, 2010 Improved algorithms for convex minimization in relative scale Peter Richtárik [pdf (revised)] [Optimization Online (old version)] [slides] SIAM Journal on Optimization 21(3), pp. 1141–1167, 2011 Simultaneously solving seven optimization problems in relative scale Peter Richtárik [pdf] [Optimization Online] submitted Some algorithms for large-scale convex and linear minimization in relative scale Peter Richtárik PhD Dissertation, School of Operations Research and Information Engineering, Cornell University |
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Software24am: Info and Download AC/DC: Info and Download | ||
Recent and Upcoming Talks 4th ICCOPT, Lisbon, Portugal, July 27-August 1, 2013 4th International Conference on Optimization, Simulation and Control, Ulaanbaatar, Mongolia, July 1-4, 2013 Model-Oriented Data Analysis and Optimum Design, Poland, June 10-14, 2013 (invited by Anatoly Zhigljavsky) Big Data Mining, Imperial College London, May 14-15, 2013 (invited by Giovanni Montana) Fête Parisienne in Computation, Inference and Optimization, Paris, France, March 20, 2013 (invited by Francis Bach and Michael Jordan) Edinburgh SIAM Student Chapter conference, March 6, 2013 (invited) Big Data and Social Media, Glasgow, UK, February 26, 2013 (invited by Des Higham) Research Recap, Innovative Learning Week, February 21, 2013 My 15 min talk (slides). Mathematical Optimization Seminar, CORE, Louvain-la-Neuve, Belgium, February 5, 2013 (invited by Yurii Nesterov) Edinburgh Research Group in Optimization seminar talk, University of Edinburgh, January 30, 2013 Optimization and Statistical Learning, Les Houches, France, January 6-11, 2013 (invited). My talk (slides). University of Strathclyde, Numerical Analysis Seminar, December 11, 2012 (invited) INFORMS Annual Meeting, Phoenix, Arizona, October 14-17, 2012 (session organizer) 3rd IMA Conf. on Numerical Linear Algebra and Optimisation, Birmingham, UK, September 10–12, 2012
(symposium organizer) 21st ISMP, Berlin, Germany, August 19–24, 2012 (session organizer) ICML Workshop on Optimization in Machine Learning, Edinburgh, UK, July 1, 2012 (invited) University of Wisconsin-Madison, Research Seminar, Wisconsin Institutes for Discovery, June 19, 2012 (invited) Advances in Large-Scale Optimization, Edinburgh, UK, May 24–25, 2012 (organizer) 3rd Conference on Optimization Methods and Software, Chania, Crete, Greece, May 13–17, 2012 (invited) University of Cambridge, Applied and Computational Analysis Seminar, May 3, 2012 (invited) INFORMS Optimization Society Conference, Coral Gables, Florida, February 24–26, 2012 Cardiff University, Operational Research and Statistics Research Seminar, February 15, 2012 (invited) Comenius University, Seminar of the Center for Economics and Finance, January 9, 2012 ICNONLA, The 8th Int. Conference on Num. Optimization and Numerical Linear Algebra, Xiamen, China, November 7–11, 2011 University of Edinburgh, Algorithms & Complexity Research Seminar @ School of Informatics, October 26, 2011 (invited) Oxford University, Computational Mathematics and Applications Research Seminar, October 13, 2011 (invited) London School of Economics, The OR Society Mathematical Programming Seminar, October 12, 2011 (invited) Heriot-Watt University, Computational Mathematics and Maths Biology Seminar, October 6, 2011 (invited) FoCM, Budapest, Hungary, July 4–14, 2011 (invited) 24th Biennial Conference on Numerical Analysis, June 28th–July 1st, 2011 (minisymposium organizer)
SPARS 11, Signal Processing with Adaptive Sparse Structured Representations, Edinburgh, June 27–30, 2011 Catholic University of Louvain, CORE, Mathematical Programming Seminar, Belgium, June 7, 2011 (invited) SIAM Conference on Optimization, Darmstadt, Germany, May 16–19, 2011 (session chair) Computational Complexity Challenges in Optimization, Edinburgh, May 12, 2011 (invited) LANCS Workshop on Modelling and Solving Complex Optimization Problems, Lancaster, April 11–13, 2011 |
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The TeamPhD Students Jakub Konečný (08/2013-), Optimization in machine learning PostdocsOlivier Fercoq (10/2012-)Rachael Tappenden (02/2012-) Jakub Mareček (01/2012-06/2012), first position: IBM Research, Dublin |
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Grants
2013–2015, EPSRC First Grant, Accelerated Coordinate Descent Methods for Big Data Problems |
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TeachingI teach 2nd and 3rd year undergraduates and in the following MSc Programmes: Operational Research, Financial Mathematics, Financial Modelling and OptimizationGame Theory (Fall 2012) Discrete Programming and Game Theory (Fall 2012) Optimization Methods in Finance (Spring 2013) Optimization Methods in Finance, Deterministic Optimization Methods in Finance (Spring 2013) |
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More StuffTÉMATIKA (a lecture series for high school students)
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