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Line Search for Averaged Operator Iteration

På svenska

Author

Summary, in English

Many popular first order algorithms for convex optimization, such as forward-backward splitting, Douglas-Rachford splitting, and the alternating direction method of multipliers (ADMM), can be formulated as averaged iteration of a nonexpansive mapping. In this paper we propose a line search for averaged iteration that preserves the theoretical convergence guarantee, while often accelerating practical convergence. We discuss several general cases in which the additional computational cost of the line search is modest compared to the savings obtained.

Publishing year

2016-03-22

Language

English

Document type

Working paper

Publisher

arXiv.org

Topic

  • Computational Mathematics
  • Control Engineering

Keywords

  • OPTIMIZATION
  • First order optimization algorithms
  • ADMM
  • Douglas–Rachford splitting

Status

Published