Inexact proximal -subgradient methods for composite convex optimization problems
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Publication:2010107
DOI10.1007/S10898-019-00808-8zbMATH Open1461.65176arXiv1805.10120OpenAlexW2964186284MaRDI QIDQ2010107FDOQ2010107
R. Díaz Millán, M. Pentón Machado
Publication date: 3 December 2019
Published in: Journal of Global Optimization (Search for Journal in Brave)
Abstract: We present two approximate versions of the proximal subgradient method for minimizing the sum of two convex functions (not necessarily differentiable). The algorithms involve, at each iteration, inexact evaluations of the proximal operator and approximate subgradients of the functions (namely: the -subgradients). The methods use different error criteria for approximating the proximal operators. We provide an analysis of the convergence and rate of convergence properties of these methods, considering various stepsize rules, including both, diminishing and constant stepsizes. For the case where one of the functions is smooth, we propose an inexact accelerated version of the proximal gradient method, and prove that the optimal convergence rate for the function values can be achieved.
Full work available at URL: https://arxiv.org/abs/1805.10120
Hilbert spacesplitting methodsoptimization probleminexact methods\(\epsilon\)-subdifferentialaccelerated methods
Numerical mathematical programming methods (65K05) Convex programming (90C25) Nonlinear programming (90C30) Methods involving semicontinuity and convergence; relaxation (49J45)
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