Srikrishna Sridhar, Stephen Wright, Christopher Re, Ji Liu, Victor Bittorf, Ce Zhang
Many problems in machine learning can be solved by rounding the solution of an appropriate linear program. We propose a scheme that is based on a quadratic program relaxation which allows us to use parallel stochastic-coordinate-descent to approximately solve large linear programs efficiently. Our software is an order of magnitude faster than Cplex (a commercial linear programming solver) and yields similar solution quality. Our results include a novel perturbation analysis of a quadratic-penalty formulation of linear programming and a convergence result, which we use to derive running time and quality guarantees.