On the asymptotic behavior of the Douglas-Rachford and proximal-point algorithms for convex optimization

DOI10.1007/S11590-021-01706-3zbMATH Open1477.90059arXiv2004.14459OpenAlexW3023004630MaRDI QIDQ2230792FDOQ2230792

Authors: Goran Banjac, John Lygeros 

Publication date: 28 September 2021

Published in: Optimization Letters (Search for Journal in Brave)

Abstract: The authors in (Banjac et al., 2019) recently showed that the Douglas-Rachford algorithm provides certificates of infeasibility for a class of convex optimization problems. In particular, they showed that the difference between consecutive iterates generated by the algorithm converges to certificates of primal and dual strong infeasibility. Their result was shown in a finite dimensional Euclidean setting and for a particular structure of the constraint set. In this paper, we extend the result to real Hilbert spaces and a general nonempty closed convex set. Moreover, we show that the proximal-point algorithm applied to the set of optimality conditions of the problem generates similar infeasibility certificates.

Full work available at URL: https://arxiv.org/abs/2004.14459

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zbMATH Keywords

convex optimizationDouglas-Rachford algorithmproximal-point algorithminfeasibility detection

Mathematics Subject Classification ID

Convex programming (90C25) Numerical methods for variational inequalities and related problems (65K15)

Cites Work

• FBstab: a proximally stabilized semismooth algorithm for convex quadratic programming
• OSQP: an operator splitting solver for quadratic programs
• Infeasibility detection in the alternating direction method of multipliers for convex optimization
• Splitting Algorithms for the Sum of Two Nonlinear Operators
• On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators
• Title not available (Why is that?)
• Augmented Lagrangians and Applications of the Proximal Point Algorithm in Convex Programming
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Asymptotic behavior of contractions in Hilbert space
• The Douglas-Rachford algorithm in the affine-convex case
• Convex analysis and monotone operator theory in Hilbert spaces
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• On the Douglas-Rachford algorithm
• Weakly homogeneous variational inequalities and solvability of nonlinear equations over cones
• The Douglas-Rachford algorithm for two (not necessarily intersecting) affine subspaces
• On the Behavior of the Douglas--Rachford Algorithm for Minimizing a Convex Function Subject to a Linear Constraint
• Shape restricted smoothing splines via constrained optimal control and nonsmooth Newton's methods
• Douglas-Rachford splitting and ADMM for pathological convex optimization

Cited In (4)

• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Behavior of the Douglas--Rachford Algorithm for Minimizing a Convex Function Subject to a Linear Constraint
• On a primal-dual Newton proximal method for convex quadratic programs

Uses Software

• OSQP
• FBstab
• QPALM
• COSMO

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