2014
NeurIPS
NeurIPS 2014
Constrained convex minimization via model-based excessive gap
Abstract
We introduce a model-based excessive gap technique to analyze first-order primal- dual methods for constrained convex minimization. As a result, we construct first- order primal-dual methods with optimal convergence rates on the primal objec- tive residual and the primal feasibility gap of their iterates separately. Through a dual smoothing and prox-center selection strategy, our framework subsumes the augmented Lagrangian, alternating direction, and dual fast-gradient methods as special cases, where our rates apply.
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Topics
Machine Learning > Optimization & Theory > Optimization
Mathematics & Optimization > Optimization > Continuous Optimization
Mathematics & Optimization > Optimization > Optimization
Mathematics & Optimization > Optimization > Optimal Transport
Mathematics & Optimization > Optimization > Convex Optimization
Mathematics & Optimization > Optimization > Algorithms