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Asymptotic convergence to the optimal value of diagonal proximal iterations in convex minimization

J Peypouquet (juan.peypouquet***at***usm.cl)

Abstract: Given an approximation $\{f_n\}$ of a given objective function $f$, we provide simple and fairly general conditions under which a diagonal proximal point algorithm approximates the value $\inf f$ at a reasonable rate. We also perform some numerical tests and present a short survey on finite convergence.

Keywords: Convex minimization, diagonal proximal algorithm

Category 1: Convex and Nonsmooth Optimization (Convex Optimization )

Citation: To appear in Journal of Convex Analysis, 16 (2009), No 2.

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Entry Submitted: 05/14/2008
Entry Accepted: 05/14/2008
Entry Last Modified: 07/04/2008

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