Jianchao Bai

A Parameterized Proximal Point Algorithm for Separable Convex Optimization

  • Jianchao Bai
  • Jicheng Li
  • Hongchao Zhang
    • Categories Convex Optimization, Statistics

    In this paper, we develop a Parameterized Proximal Point Algorithm (P-PPA) for solving a class of separable convex programming problems subject to linear and convex constraints. The proposed algorithm is provable to be globally convergent with a worst-case $O(1/t)$ convergence rate, where $t$ is the iteration number. By properly choosing the algorithm parameters, numerical experiments … Read more

    Generalized Symmetric ADMM for Separable Convex Optimization

  • Jianchao Bai
  • Jicheng Li
  • Fengmin Xu
  • Hongchao Zhang
    • Categories Convex Optimization, Global Optimization Theory Tags , , , , , ,

    The Alternating Direction Method of Multipliers (ADMM) has been proved to be effective for solving separable convex optimization subject to linear constraints. In this paper, we propose a Generalized Symmetric ADMM (GS-ADMM), which updates the Lagrange multiplier twice with suitable stepsizes, to solve the multi-block separable convex programming. This GS-ADMM partitions the data into two … Read more