-

 

 

 




Optimization Online





 

A variable smoothing algorithm for solving convex optimization problems

Radu Ioan Bot(radu.bot***at***mathematik.tu-chemnitz.de)
Christopher Hendrich(christopher.hendrich***at***mathematik.tu-chemnitz.de)

Abstract: In this article we propose a method for solving unconstrained optimization problems with convex and Lipschitz continuous objective functions. By making use of the Moreau envelopes of the functions occurring in the objective, we smooth the latter to a convex and differentiable function with Lipschitz continuous gradient by using both variable and constant smoothing parameters. The resulting problem is solved via an accelerated first-order method and this allows us to recover approximately the optimal solutions to the initial optimization problem with a rate of convergence of order $\O(\tfrac{\ln k}{k})$ for variable smoothing and of order $\O(\tfrac{1}{k})$ for constant smoothing. Some numerical experiments employing the variable smoothing method in image processing and in supervised learning classification are also presented.

Keywords: Moreau envelope, regularization, variable smoothing, fast gradient method

Category 1: Convex and Nonsmooth Optimization (Convex Optimization )

Category 2: Applications -- Science and Engineering (Other )

Category 3: Applications -- Science and Engineering (Data-Mining )

Citation:

Download: [PDF]

Entry Submitted: 07/13/2012
Entry Accepted: 07/13/2012
Entry Last Modified: 07/13/2012

Modify/Update this entry


  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository

 

Submit
Update
Policies
Coordinator's Board
Classification Scheme
Credits
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Optimization Society