A parameterized proximal point algorithm for separable convex optimization

In this paper, we develop a parameterized proximal point algorithm (P-PPA) for solving a class of separable convex programming problems subject to linear and convex constraints. The proposed algorithm is provable to be globally convergent with a worst-case O(1/t) convergence rate, wheret denotes the...

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Vydáno v:arXiv.org
Hlavní autoři: Bai, Jianchao, Zhang, Hongchao, Li, Jicheng
Médium: Paper
Jazyk:angličtina
Vydáno: Ithaca Cornell University Library, arXiv.org 10.12.2018
Témata:
Algorithms
Computational geometry
Convergence
Convexity
Iterative methods
Mathematical programming
Optimization
Parameterization
State of the art
ISSN:2331-8422
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Shrnutí:In this paper, we develop a parameterized proximal point algorithm (P-PPA) for solving a class of separable convex programming problems subject to linear and convex constraints. The proposed algorithm is provable to be globally convergent with a worst-case O(1/t) convergence rate, wheret denotes the iteration number. By properly choosing the algorithm parameters, numerical experiments on solving a sparse optimization problem arising from statistical learning show that our P-PPA could perform significantly better than other state-of-the-art methods, such as the alternating direction method of multipliers and the relaxed proximal point algorithm.
Bibliografie:SourceType-Working Papers-1
ObjectType-Working Paper/Pre-Print-1
content type line 50
ISSN:2331-8422
DOI:10.48550/arxiv.1812.03759