inexact proximal method – Optimization Online

An accelerated non-Euclidean hybrid proximal extragradient-type Algorithm for convex-concave saddle-point Problems

Published: 2015/09/18

Convex Optimization accelerated gradient method, bregman distances, complexity, convex optimization, ergodic convergence, hybrid proximal extragradient method, inexact proximal method, maximal monotone operator, saddle point problem

This paper describes an accelerated HPE-type method based on general Bregman distances for solving monotone saddle-point (SP) problems. The algorithm is a special instance of a non-Euclidean hybrid proximal extragradient framework introduced by Svaiter and Solodov [28] where the prox sub-inclusions are solved using an accelerated gradient method. It generalizes the accelerated HPE algorithm presented … Read more