Bundle methods for dual atomic pursuit
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Publication:6328147
arXiv1910.13650MaRDI QIDQ6328147FDOQ6328147
Authors: Zhenan Fan, Yi-Fan Sun, Michael P. Friedlander 
Publication date: 29 October 2019
Abstract: The aim of structured optimization is to assemble a solution, using a given set of (possibly uncountably infinite) atoms, to fit a model to data. A two-stage algorithm based on gauge duality and bundle method is proposed. The first stage discovers the optimal atomic support for the primal problem by solving a sequence of approximations of the dual problem using a bundle-type method. The second stage recovers the approximate primal solution using the atoms discovered in the first stage. The overall approach leads to implementable and efficient algorithms for large problems.
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