A proximal-based deomposition method for compositions method for convex minimization problems
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The algorithm presented in this paper is derived from Rockafellar's proximal method of multipliers. The algorithm preserves the good features of the proximal method of multipliers with the additional advantage that it leads to a decoupling of the constraints and is thus suitable for parallel implementation. The proximal minimization steps are computed approximately and it is proved that under mild assumptions on the problem's data the method is globally convergent at a linear rate. The method is compared with alternating direction type methods and applied to the particular case of minimizing a convex function over a finite intersection of closed convex sets.
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