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dc.contributor.authorKontogiorgis, Spyridon
dc.contributor.authorMeyer, Robert R.
dc.description.abstractWe study a generalized version of the method of alternating directions as applied to the minimization of the sum of two convex functions subject to linear constraints. The method consists of solving consecutively in each iteration two optimization problems which determine the new proximal terms and a simple update of the Lagrangian terms follows. We prove a convergence theorem which extends existing results by relaxing the assumption of uniqueness of minimizers. Another novelty is that we allow penalty matrices, and these may vary per iteration. This can be beneficial in applications, since it allows additional tuning of the method to the problem and can lead to faster convergence relative to fixed penalties. As an application, we derive a decomposition scheme for block angular optimization and present computational results on a class of dual block angular problemsen
dc.subjectblock andular programsen
dc.subjectalternating direction methodsen
dc.subjectparallel computingen
dc.titleA variable-penalty alternating directions method for convex optimizationen
dc.typeTechnical Reporten

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  • Math Prog Technical Reports
    Math Prog Technical Reports Archive for the Department of Computer Sciences at the University of Wisconsin-Madison

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