Fast multiple-splitting algorithms for convex optimization
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Abstract: We present in this paper two different classes of general -splitting algorithms for solving finite-dimensional convex optimization problems. Under the assumption that the function being minimized has a Lipschitz continuous gradient, we prove that the number of iterations needed by the first class of algorithms to obtain an -optimal solution is . The algorithms in the second class are accelerated versions of those in the first class, where the complexity result is improved to while the computational effort required at each iteration is almost unchanged. To the best of our knowledge, the complexity results presented in this paper are the first ones of this type that have been given for splitting and alternating direction type methods. Moreover, all algorithms proposed in this paper are parallelizable, which makes them particularly attractive for solving certain large-scale problems.
To solve finite-dimensional convex optimization problems, the authors develop two different classes of general multiple-splitting algorithms based on alternating directions and alternating linearization techniques. Under certain conditions, the complexity bounds on the number of iterations required to obtain an \(\epsilon\)-optimal solution for these algorithms are obtained, namely, \(O(1/\epsilon)\) and \(O(1/\sqrt{\epsilon})\), respectively. Moreover, all algorithms proposed in this paper are parallelizable. Numerical results are presented to demonstrate the computational performance of these algorithms.
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