Line Search for Averaged Operator Iteration

Pontus Giselsson, Mattias Fält, Stephen Boyd

Forskningsoutput: Working paper/PreprintWorking paper

Sammanfattning

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.
Originalspråkengelska
UtgivarearXiv.org
Antal sidor26
StatusPublished - 2016 mars 22

Ämnesklassifikation (UKÄ)

  • Beräkningsmatematik
  • Reglerteknik

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