It's not about efficiency, it's about effectiveness.

Sequential reading may be more efficient, but it's infinitely less effective if you never pick up the book to read the next chapter.

It's a workaround for the 'I started this useful, interesting book, read 50% of it, then never touched it again, for no good reason' bug. You solve the problem by nerd-sniping yourself with an exercise.

If you don't experience this bug perhaps it's not good advice for you.

My 'technique', if I want to read a particular book, is to carry it, and no other book, in my backpack. I'll inevitably read it in my down times.

Yeah I have the problem of reading too many books at a time. I am in the last few chapters of an awesome but technically dense book, but I keep putting it off because it's more fun to spend an hour reading "The Two Towers".

If I remember correctly this method was advised in the comments of an HN article about Concrete Mathematics by Knuth et all. I used this for undergraduate texts, mainly in math that I had collected over the years and never got around to reading, like Calculus (Apostol), Algebra: Chapter 0 (Aluffi), Computer Systems: A Programmer's Perspective (Bryant/O'Halloran), a 1000+ page book I flew through as I found I knew some of the material already and used the exercises to test what I had forgotten so I could re-read that material. I also discovered by doing this, subjects I thought I knew and would've skipped, I didn't actually remember correctly and other subjects I thought I didn't know, I could solve without having to read the chapter as previous exercises were helpful enough to understand the problem or I had picked up the information somewhere else.

Aluffi's book also helpfully tells you which exercises require solving previous exercises.

But Aluffi is so engaging even without this technique!

"The reader who has read the book but cannot do the exercises has learned nothing." -- J.J. Sakurai

A lot of books from my school had exercises you could not solve if your only knowledge about the subject was the previous chapter(s). So for those who could be bothered (most efficient technique is not doing reading or exercises at all but somehow getting a good grade) there were times one would come up with an insight or read further ahead / another reference and discover a new connection. Either way made for deeper learning.

If I pick up a book to learn a new math topic, the first chapter or two may be all refresher to me. I may have a good foundation in some other chapters already, as well. This method bypasses that. Instead of getting bored or distracted, you can identify what information you're missing in particular.

Another benefit of this is that you can see what information you've actually learned/internalized, versus what was just staying on the surface of your memory/mind when you last took a related course.

I guess if you do the exercise first you actively know what information you need. So you can skip the content that's irrelevant and the stuff you know well enough already.

I think there's more to it. By turning material into a problem or an exercise, you've already turned on an active learning response. There's no way to coast through the text if you have something to grapple with already.