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作者机构:INST INFORMAT & INTELLIGENCE ARTIFICIELLECH-2000 NEUCHATELSWITZERLAND INSALMAIF-76131 MONT ST AIGNANFRANCE
出 版 物:《SIAM JOURNAL ON OPTIMIZATION》 (工业与应用数学会最优化杂志)
年 卷 期:1995年第5卷第2期
页 面:454-466页
核心收录:
学科分类:07[理学] 070104[理学-应用数学] 0701[理学-数学]
主 题:PROXIMAL POINT ALGORITHM PARTIAL INVERSE CONVEX PROGRAMMING
摘 要:We present an algorithm to solve: Find (x, y) epsilon A x A perpendicular to such that y epsilon Tx, where A is a subspace and T is a maximal monotone operator. The algorithm is based on the proximal decomposition on the graph of a monotone operator and we show how to recover Spingarn s decomposition method. We give a proof of convergence that does not use the concept of partial inverse and show how to choose a scaling factor to accelerate the convergence in the strongly monotone case. Numerical results performed on quadratic problems confirm the robust behaviour of the algorithm.