Free-Steering Relaxation Methods for Problems with Strictly Convex Costs and Linear Constraints

Kiwiel K (1994). Free-Steering Relaxation Methods for Problems with Strictly Convex Costs and Linear Constraints. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-94-089

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Abstract

We consider dual coordinate ascent methods for minimizing a strictly convex (possibly nondifferentiable) function subject to linear constraints. Such methods are useful in large-scale applications (e.g., entropy maximization, quadratic programming, network flows), because they are simple, can exploit sparsity and in certain cases are highly parallelizable. We establish their global convergence under weak conditions and a free-steering order of relaxation. Previous comparable results were restricted to special problems with separable costs and equality constraints. Our convergence framework unifies to a certain extent the approaches of Bregman, Censor and Lent, De Pierro and Iusem, and Luo and Tseng, and complements that of Bertsekas and Tseng.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Optimization under Uncertainty (OPT)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:04
Last Modified: 17 Nov 2016 01:41
URI: http://pure.iiasa.ac.at/4122

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