A revisit of chen-teboulle's proximal-based decomposition method

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION(2024)

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摘要
. The predictor corrector proximal multiplier method (PCPM) proposed by Chen and Teboulle in early 1990s is a popular scheme for linearly constrained composite minimization problems. In this paper, we show that the PCPM is equivalent to a special case of the linearized augmented Lagrangian method (ALM). Using this interpretation, we identify the necessary and sufficient convergence condition for its convergence. As a byproduct, the stepsize condition of Chen-Teboulle's PCPM can be improved without adding any further assumptions. We prove the global convergence of the PCPM with this improved condition. We also propose a generalized version of PCPM with convergence guarantee under mild conditions.
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Key words and phrases. Convex programming,proximal method,augmented Lagrangian,larger step size
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