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Line Search for Averaged Operator Iteration

In English

Författare

Summary, in English

Many popular first order algorithms for convex optimization, such as forward-backward splitting, Douglas-Rachford splitting, and the alternating direction method of multipliers (ADMM), can be formulated as averaged iteration of a nonexpansive mapping. In this paper we propose a line search for averaged iteration that preserves the theoretical convergence guarantee, while often accelerating practical convergence. We discuss several general cases in which the additional computational cost of the line search is modest compared to the savings obtained.

Publiceringsår

2016-03-22

Språk

Engelska

Dokumenttyp

Working paper

Förlag

arXiv.org

Ämne

  • Computational Mathematics
  • Control Engineering

Nyckelord

  • OPTIMIZATION
  • First order optimization algorithms
  • ADMM
  • Douglas–Rachford splitting

Status

Published