The projected polar proximal point algorithm converges globally

DOI10.1007/S10898-022-01136-0MaRDI QIDQ2162520zbMATH OpenOpenAlexFDO

Authors Scott B. Lindstrom

Publication date 8 August 2022

Published in Journal of Global Optimization (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2102.10924

zbMATH Keywords

gauge optimizationpolar convolutionpolar envelopepolar proximity operatorprojected polar proximal point algorithm

Mathematics Subject Classification ID

Stochastic programming (90C15) Convex programming (90C25)

Abstract: Friedlander, Mac^{e}do, and Pong recently introduced the projected polar proximal point algorithm (P4A) for solving optimization problems by using the closed perspective transforms of convex objectives. We analyse a generalization (GP4A) which replaces the closed perspective transform with a more general closed gauge. We decompose GP4A into the iterative application of two separate operators, and analyse it as a splitting method. By showing that GP4A and its under-relaxations exhibit global convergence whenever a fixed point exists, we obtain convergence guarantees for P4A by letting the gauge specify to the closed perspective transform for a convex function. We then provide easy-to-verify sufficient conditions for the existence of fixed points for the GP4A, using the Minkowski function representation of the gauge. Conveniently, the approach reveals that global minimizers of the objective function for P4A form an exposed face of the dilated fundamental set of the closed perspective transform.

Recommendations

• Convergence of a Hybrid Projection-Proximal Point Algorithm Coupled with Approximation Methods in Convex Optimization
• Convergence of a proximal point algorithm for solving minimization problems
• On the Convergence of the Proximal Point Algorithm for Convex Minimization
• Finite termination of the proximal point algorithm
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Cites work

• Comparing averaged relaxed cutters and projection methods: theory and examples
• Convex Analysis
• Convex analysis and monotone operator theory in Hilbert spaces
• Gauge optimization and duality
• scientific article; zbMATH DE number 1821400 (Why is no real title available?)
• Iterative methods for fixed point problems in Hilbert spaces
• Polar convolution
• Variational Analysis

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