Solving separable convex optimization problems: Faster prediction-correction framework

arXiv2304.02465MaRDI QIDQ6509538FDOQ6509538

Authors: Tao Zhang, Yong Xia, Shiru Li 

Abstract: He and Yuan's prediction-correction framework [SIAM J. Numer. Anal. 50: 700-709, 2012] is able to provide convergent algorithms for solving convex optimization problems at a rate of $O(1/t)$ in both ergodic and pointwise senses. This paper presents a faster prediction-correction framework at a rate of $O(1/t)$ in the non-ergodic sense and $O(1/t^2)$ in the pointwise sense, {it without any additional assumptions}. Interestingly, it provides a faster algorithm for solving {it multi-block} separable convex optimization problems with linear equality or inequality constraints.

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