Patrinos, Panagiotis and Stella, Lorenzo and Bemporad, Alberto Forward-backward truncated Newton methods for convex composite optimization. Working Paper # /2014 ArXiv (Unpublished)
Full text not available from this repository.Abstract
This paper proposes two proximal Newton-CG methods for convex nonsmooth optimization problems in composite form. The algorithms are based on a a reformulation of the original nonsmooth problem as the unconstrained minimization of a continuously differentiable function, namely the forward-backward envelope (FBE). The first algorithm is based on a standard line search strategy, whereas the second one combines the global efficiency estimates of the corresponding first-order methods, while achieving fast asymptotic convergence rates. Furthermore, they are computationally attractive since each Newton iteration requires the approximate solution of a linear system of usually small dimension.
| Item Type: | Working Paper (Working Paper) |
|---|---|
| Additional Information: | A preliminary version of this paper [1] was presented at the 52nd IEEE Conference on Decision and Control, Florence, Italy, December 11, 2013. |
| Subjects: | Q Science > QA Mathematics > QA75 Electronic computers. Computer science |
| Research Area: | Computer Science and Applications |
| Depositing User: | Ms T. Iannizzi |
| Date Deposited: | 01 Jul 2014 11:02 |
| Last Modified: | 01 Jul 2014 11:02 |
| URI: | http://eprints.imtlucca.it/id/eprint/2225 |
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