Titel
The Proximal Alternating Minimization Algorithm for Two-Block Separable Convex Optimization Problems with Linear Constraints
Autor*in
Sandy Bitterlich
Faculty of Mathematics, Chemnitz University of Technology
Autor*in
Radu Ioan Boţ
Autor*in
Ernö Robert Csetnek
... show all
Abstract
The Alternating Minimization Algorithm has been proposed by Paul Tseng to solve convex programming problems with two-block separable linear constraints and objectives, whereby (at least) one of the components of the latter is assumed to be strongly convex. The fact that one of the subproblems to be solved within the iteration process of this method does not usually correspond to the calculation of a proximal operator through a closed formula affects the implementability of the algorithm. In this paper, we allow in each block of the objective a further smooth convex function and propose a proximal version of the algorithm, which is achieved by equipping the algorithm with proximal terms induced by variable metrics. For suitable choices of the latter, the solving of the two subproblems in the iterative scheme can be reduced to the computation of proximal operators. We investigate the convergence of the proposed algorithm in a real Hilbert space setting and illustrate its numerical performances on two applications in image processing and machine learning.
Stichwort
Proximal AMALagrangianSaddle pointsSubdifferentialConvex optimizationFenchel duality
Objekt-Typ
Sprache
Englisch [eng]
Persistent identifier
https://phaidra.univie.ac.at/o:970533
Erschienen in
Titel
Journal of Optimization Theory and Applications
Verlag
Springer Nature
Erscheinungsdatum
2018
Zugänglichkeit
Rechteangabe
© The Author(s) 2018

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