A proximal multiplier method for separable convex minimization

  • Paulo Roberto Oliveira
  • Erik Alex Papa Quiroz
  • Orlando Sarmiento
    • Categories Convex Optimization, Nonlinear Optimization, Nonsmooth Optimization Short URL: https://optimization-online.org/?p=12887

    In this paper, we propose an inexact proximal multiplier method using proximal distances for solving convex minimization problems with a separable structure. The proposed method unified the work of Chen and Teboulle (PCPM method), Kyono and Fukushima (NPCPMM) and Auslender and Teboulle (EPDM) and extends the convergence properties for a class of phi-divergence distances. We prove, under standard assumptions, that the iterations generated by the method are well defined and the sequence converges to an optimal solution of the problem.

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    Report may/2014, PESC-COPPE, Federal University of Rio de Janeiro.

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