Newton methods for nonsmooth convex minimization: connections among
-Lagrangian, Riemannian Newton and SQP methods |
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Authors: | Scott A Miller Jérôme Malick |
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Institution: | (1) Numerica Corp., P.O. Box 271246, Ft. Collins, CO 80527-1246, USA;(2) INRIA, 655 avenue de l'Europe, 38334 Saint Ismier Cedex, France |
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Abstract: | This paper studies Newton-type methods for minimization of partly smooth convex functions. Sequential Newton methods are provided
using local parameterizations obtained from -Lagrangian theory and from Riemannian geometry. The Hessian based on the -Lagrangian depends on the selection of a dual parameter g; by revealing the connection to Riemannian geometry, a natural choice of g emerges for which the two Newton directions coincide. This choice of g is also shown to be related to the least-squares multiplier estimate from a sequential quadratic programming (SQP) approach,
and with this multiplier, SQP gives the same search direction as the Newton methods.
This paper is dedicated to R.T. Rockafellar, on the occasion of his 70th birthday. |
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