Scale-RCD is a set of random/greedy coordinate descent methods for solving large-scale convex composite optimization problems. It also contains two test application settings and their associated datasets.

It is implemented in C and Matlab

It can be downloaded here

References:

• • I. Necoara, A. Patrascu, A random coordinate descent algorithm for optimization problems with composite objective function and linear coupled constraints, Computational Optimization and Applications, 2014.