Line Search for Averaged Operator Iteration
Giselsson, Pontus LU
; Fält, Mattias
LU
and Boyd, Stephen
(2016)
- Abstract
- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/181e0b91-6353-45ad-90d6-7b8e7d6f042a
- author
- Giselsson, Pontus
LU
; Fält, Mattias
LU
and Boyd, Stephen
- organization
- publishing date
- 2016-03-22
- type
- Working paper/Preprint
- publication status
- published
- subject
- keywords
- OPTIMIZATION, First order optimization algorithms, ADMM, Douglas–Rachford splitting
- pages
- 26 pages
- publisher
- arXiv.org
- external identifiers
-
- scopus:85010782415
- language
- English
- LU publication?
- yes
- id
- 181e0b91-6353-45ad-90d6-7b8e7d6f042a
- alternative location
- http://arxiv.org/abs/1603.06772
- date added to LUP
- 2016-05-13 13:50:25
- date last changed
- 2023-11-21 20:24:21
@misc{181e0b91-6353-45ad-90d6-7b8e7d6f042a,
abstract = {{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.}},
author = {{Giselsson, Pontus and Fält, Mattias and Boyd, Stephen}},
keywords = {{OPTIMIZATION; First order optimization algorithms; ADMM; Douglas–Rachford splitting}},
language = {{eng}},
month = {{03}},
note = {{Working Paper}},
publisher = {{arXiv.org}},
title = {{Line Search for Averaged Operator Iteration}},
url = {{http://arxiv.org/abs/1603.06772}},
year = {{2016}},
}