A selective linearization method for multiblock convex optimization

DOI10.1137/15M103217XzbMATH Open1366.90194arXiv1511.01716MaRDI QIDQ5266536FDOQ5266536

Authors: Yu Du, Xiaodong Lin, Andrzej Ruszczyński 

Publication date: 16 June 2017

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Abstract: We consider the problem of minimizing a sum of several convex non-smooth functions. We introduce a new algorithm called the selective linearization method, which iteratively linearizes all but one of the functions and employs simple proximal steps. The algorithm is a form of multiple operator splitting in which the order of processing partial functions is not fixed, but rather determined in the course of calculations. Global convergence is proved and estimates of the convergence rate are derived. Specifically, the number of iterations needed to achieve solution accuracy $varepsilon$ is of order $$. We also illustrate the operation of the algorithm on structured regularization problems.

Full work available at URL: https://arxiv.org/abs/1511.01716

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zbMATH Keywords

operator splittingnonsmooth optimizationalternating linearizationmultiple blocks

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Nonlinear programming (90C30) Decomposition methods (49M27)

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Cited In (6)

• Proximal alternating penalty algorithms for nonsmooth constrained convex optimization
• Selective linearization for multi-block statistical learning
• An outer-inner linearization method for non-convex and nondifferentiable composite regularization problems
• An ADMM algorithm for two-stage stochastic programming problems
• An adaptive partial linearization method for optimization problems on product sets
• An Efficient Algorithm for Minimizing Multi Non-Smooth Component Functions

Uses Software

• UNLocBoX

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