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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.

 

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