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A decomposition method for convex minimization problems and its application |
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| Authors: | Xu Yifan Wu Fang |
| Affiliation: | (1) School of Management, Fudan University, 200433 Shanghai, China;(2) the Academy of Mathematics and Systems Sciences, Institute of Applied Mathematics, 100080 Beijing, China;(3) Institute of Applied Mathematics the Chinese Academy of Sciences, 100080 Beijing, China |
| Abstract: | In this paper, we present a modified decomposition algorithm and its bundle style variant for convex programming problems with separable structure. We prove that these methods are globally and linearly convergent and discuss the application of the bundle variant in parallel computations. |
| Keywords: | Convex programming bundle decomposition method proximal point algorithm |
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