Conic Optimization via Operator Splitting and Homogeneous Self-Dual Embedding

We introduce a first-order method for solving very large convex cone programs. The method uses an operator splitting method, the alternating directions method of multipliers, to solve the homogeneous self-dual embedding, an equivalent feasibility problem involving finding a nonzero point in the inte...

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Bibliographic Details
Published in:	Journal of optimization theory and applications Vol. 169; no. 3; pp. 1042 - 1068
Main Authors:	O’Donoghue, Brendan, Chu, Eric, Parikh, Neal, Boyd, Stephen
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.06.2016 Springer Nature B.V
Subjects:	Accuracy Algorithms Applications of Mathematics Calculus of Variations and Optimal Control; Optimization Engineering Freeware Intersections Mathematical models Mathematical programming Mathematics Mathematics and Statistics Methods Operations Research/Decision Theory Operators Optimization Source code Splitting Studies Subspaces Theory of Computation 90C25 Cone programming Operator splitting 90C06 49M29 49M05 First-order methods Optimization
ISSN:	0022-3239, 1573-2878
Online Access:	Get full text
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