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  4. Smoothing Alternating Direction Methods for Fully Nonsmooth Constrained Convex Optimization
 
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Smoothing Alternating Direction Methods for Fully Nonsmooth Constrained Convex Optimization

Tran Dinh, Quoc  
•
Cevher, Volkan  orcid-logo
2018
Large-Scale and Distributed Optimization

We propose two new alternating direction methods to solve “fully” nonsmooth constrained convex problems. Our algorithms have the best known worst-case iteration-complexity guarantee under mild assumptions for both the objective residual and feasibility gap. Through theoretical analysis, we show how to update all the algorithmic parameters automatically with clear impact on the convergence performance. We also provide a representative numerical example showing the advantages of our methods over the classical alternating direction methods using a well-known feasibility problem.

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Smoothing Alternating Direction Methods for Fully Nonsmooth Constrained Convex Optimization.pdf

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