RT Monograph
SR 00
A1 Kiwiel, K.
A1 Rosa, C.H.
A1 Ruszczynski, A.
T1 Decomposition via Alternating Linearization
YR 1995
FD 1995-06
SP 25
AB A new approximate proximal point method for minimizing the sum of two convex functions is introduced. It replaces the original problem by a sequence of regularized subproblems in which the functions are alternately represented by linear models. The method updates the linear models and the prox center, as well as the prox coefficient. It is monotone in terms of the objective values and converges to a solution of the problem, if any. A dual version of the method is derived and analyzed. Applications of the methods to multistage stochastic programming problems are discussed and preliminary numerical experience presented.
PB WP-95-051
PP IIASA, Laxenburg, Austria
AV Published
LK https://pure.iiasa.ac.at/id/eprint/4541/