A New Insight on Augmented Lagrangian Method with Applications in Machine Learning
By exploiting double-penalty terms for the primal subproblem, we develop a novel relaxed augmented Lagrangian method for solving a family of convex optimization problems subject to equality or inequality constraints. This new method is then extended to solve a general multi-block separable convex optimization problem, and two related primal-dual hybrid gradient algorithms are also discussed. … Read more