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douglas-rachford operator splitting method

On convergence rate of the Douglas-Rachford operator splitting method

Published: 2011/12/13, Updated: 2012/02/03
  • Bingsheng He
  • Xiao-Ming Yuan
  • Categories Convex and Nonsmooth Optimization Tags convergence rate, douglas-rachford operator splitting method

    This note provides a simple proof on a O(1/k) convergence rate for the Douglas-Rachford operator splitting method where $k$ denotes the iteration counter. ArticleDownload View PDF

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    alternating direction method of multipliers approximation algorithms augmented lagrangian method bilevel optimization Branch-and-Bound branch-and-cut chance constraints column generation combinatorial optimization complexity conic optimization convex optimization cutting planes decomposition derivative-free optimization distributionally robust optimization duality dynamic programming first-order methods global convergence global optimization heuristics integer programming interior point methods large-scale optimization linear programming machine learning mixed-integer linear programming mixed-integer nonlinear programming mixed-integer programming multiobjective optimization nonconvex optimization nonlinear optimization nonlinear programming nonsmooth optimization optimal control optimization proximal point algorithm quadratic programming robust optimization semidefinite programming stochastic optimization stochastic programming trust-region methods unconstrained optimization

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