A Randomized Mirror-Prox Method for Solving Structured Large-Scale Matrix Saddle-Point Problems

DOI10.1137/11085801XzbMath1295.90039DBLPjournals/siamjo/BaesBN13arXiv1112.1274WikidataQ57392885 ScholiaQ57392885MaRDI QIDQ2848180

Michel Baes, Arkadi Nemirovski, Michael Bürgisser

Publication date: 25 September 2013

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.1274

zbMATH Keywords

eigenvalue optimizationsemidefinite programmingstochastic approximationlarge-scale problemsmirror-prox methods

Mathematics Subject Classification ID

Semidefinite programming (90C22) Minimax problems in mathematical programming (90C47) Approximation methods and heuristics in mathematical programming (90C59)

Related Items (8)

Sublinear time algorithms for approximate semidefinite programming ⋮ Special backtracking proximal bundle method for nonconvex maximum eigenvalue optimization ⋮ Primal-Dual Stochastic Gradient Method for Convex Programs with Many Functional Constraints ⋮ Golden ratio algorithms for variational inequalities ⋮ A version of the mirror descent method to solve variational inequalities ⋮ A stochastic primal-dual method for optimization with conditional value at risk constraints ⋮ Scalable Semidefinite Programming ⋮ On Solving Large-Scale Polynomial Convex Problems by Randomized First-Order Algorithms

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