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report

A Primal-Dual Algorithmic Framework for Constrained Convex Minimization

Tran Dinh, Quoc  
•
Cevher, Volkan  orcid-logo
2014

We present a primal-dual algorithmic framework to obtain approximate solutions to a prototypical constrained convex optimization problem, and rigorously characterize how common structural assumptions affect the numerical efficiency. Our main analysis technique provides a fresh perspective on Nesterov's excessive gap technique in a structured fashion and unifies it with smoothing and primal-dual methods. For instance, through the choices of a dual smoothing strategy and a center point, our framework subsumes decomposition algorithms, augmented Lagrangian as well as the alternating direction method-of-multipliers methods as its special cases, and provides optimal convergence rates on the primal objective residual as well as the primal feasibility gap of the iterates for all.

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Type
report
Author(s)
Tran Dinh, Quoc  
Cevher, Volkan  orcid-logo
Date Issued

2014

Total of pages

54

Subjects

Primal-dual method

•

optimal first-order method

•

augmented Lagrangian

•

alternating direction method of multipliers

•

separable convex minimization

•

monotropic programming

•

parallel and distributed algorithm

Note

This manuscript has just submitted for publication

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EPFL

EPFL units
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Available on Infoscience
June 20, 2014
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/104549
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