Some Saddle-function splitting methods for convex programming
作者:
Jonathan Eckstein,
期刊:
Optimization Methods and Software
(Taylor Available online 1994)
卷期:
Volume 4,
issue 1
页码: 75-83
ISSN:1055-6788
年代: 1994
DOI:10.1080/10556789408805578
出版商: Gordon and Breach Science Publishers
关键词: Decomposition, method of multipliers, augmented Lagrangian, proximal point algorithm, splitting methods
数据来源: Taylor
摘要:
Consider two variations of the method of multipliers, or classical augmented Lagrangian method for convex programming.The proximalmethod of multipliers adjoins quadratic primal proximal terms to the augmented Lagrangian, and has a stronger primal convergence theory than the standard method. On the other hand, thealternating directionmethod of multipliers, which uses a special kind of partial minimization of the augmented Lagrangian, is conducive to the derivation of decomposition methods finding application in parallel computing. This note shows convergence a method combining the features of these two variations. The method is closely related to some algorithms of Gols'shtein. A comparison of the methods helps illustrate the close relationship between previously separate bodies of Western and Soviet literature.
点击下载:
PDF (2311KB)
返 回