Primal-dual proximal point algorithm for linearly constrained convex programming problems (Q1203067): Difference between revisions

The authors develop a primal-dual version of the proximal point algorithm for linearly constrained convex programming problems. The algorithm is an iterative method to find a saddle point of the Lagrangian of the problem. At each iteration of the algorithm, an approximate saddle point of the Lagrangian function augmented by quadratic proximal terms of both primal and dual variables is computed; first, one minimizes the function with respect to the primal variables and then one maximizes the resulting function of the dual variables. An application to separable problems and some numerical results for network flow problems with separable quadratic costs are presented.