Combining Lagrangian Decomposition and Excessive Gap Smoothing Technique for Solving Large-Scale Separable Convex Optimization Problems

Details Combining Lagrangian Decomposition and Excessive Gap Smoothing Technique for Solving Large-Scale Separable Convex Optimization Problems Combining Lagrangian Decomposition and Excessive Gap Smoothing Technique for Solving Large-Scale Separable Convex Optimization Problems

2011-05-26

arxiv.org/abs/1105.5427v3

Mathematics

Optimization and Control

29 pages, one figure

Scientific paper

A new algorithm for solving large-scale convex optimization problems with a separable objective function is proposed. The basic idea is to combine three techniques: Lagrangian dual decomposition, excessive gap and smoothing. The main advantage of this algorithm is that it dynamically updates the smoothness parameters which leads to numerically robust performance. The convergence of the algorithm is proved under weak conditions imposed on the original problem. The rate of convergence is $O(\frac{1}{k})$, where $k$ is the iteration counter. In the second part of the paper, the algorithm is coupled with a dual scheme to construct a switching variant of the dual decomposition. We discuss implementation issues and make a theoretical comparison. Numerical examples confirm the theoretical results.

Affiliated with

Also associated with

No associations

Rating

Combining Lagrangian Decomposition and Excessive Gap Smoothing Technique for Solving Large-Scale Separable Convex Optimization Problems does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Combining Lagrangian Decomposition and Excessive Gap Smoothing Technique for Solving Large-Scale Separable Convex Optimization Problems, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Combining Lagrangian Decomposition and Excessive Gap Smoothing Technique for Solving Large-Scale Separable Convex Optimization Problems will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-664184