A selective linearization method for multiblock convex optimization
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Publication:5266536
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 is of order . We also illustrate the operation of the algorithm on structured regularization problems.
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Cited in
(6)- Proximal alternating penalty algorithms for nonsmooth constrained convex optimization
- An Efficient Algorithm for Minimizing Multi Non-Smooth Component Functions
- An adaptive partial linearization method for optimization problems on product sets
- An ADMM algorithm for two-stage stochastic programming problems
- Selective linearization for multi-block statistical learning
- An outer-inner linearization method for non-convex and nondifferentiable composite regularization problems
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