Proximal Decomposition Via Alternating Linearization
The authors present a method for solving structured convex optimization problems of the following form: minimize \(F(x):= h(x)+ f(x)\), where \(h: \mathbb{R}^n\to (-\infty, \infty]\) and \(f: \mathbb{R}^n\to \mathbb{R}\) are closed proper convex functions. The proposed method makes it possible to exploit structural properties of \(h\) and \(f\) separately, which may be useful in many applications. Main result: A new approximate proximal point method for minimizing the sum of two functions is introduced. It replaces the original problem by a sequence of regularized subproblems in which the functions are alternately represented by linear models. The method updates the linear models and the prox center, as well as the prox coefficient. It is monotone in terms of the objective values and converges to a solution of the problem, if any exists. Moreover, a dual version of the method is derived and analyzed. Finally, applications of the methods of multistage stochastic programming problems are discussed and preliminary numerical experience is presented.
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