A Parallel Line Search Subspace Correction Method for Composite Convex Optimization

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Online published: 2015-06-30

Abstract

In this paper, we investigate a parallel subspace correction framework for composite convex optimization. The variables are first divided into a few blocks based on certain rules. At each iteration, the algorithms solve a suitable subproblem on each block simultaneously, construct a search direction by combining their solutions on all blocks, then identify a new point along this direction using a step size satisfying the Armijo line search condition. They are called PSCLN and PSCLO, respectively, depending on whether there are overlapping regions between two imme-diately adjacent blocks of variables. Their convergence is established under mild assumptions. We compare PSCLN and PSCLO with the parallel version of the fast iterative thresholding algorithm and the fixed-point continuation method using the Barzilai-Borwein step size and the greedy coordinate block descent method for solving the 1-regularized minimization problems. Our numerical results showthatPSCLN and PSCLOcan run fast and return solutions notworse than those from the state-of-theart algorithms on most test problems. It is also observed that the overlapping domain decomposition scheme is helpful when the data of the problem has certain special .structures

Cite this article

Qian Dong · Xin Liu · Zai-Wen Wen·Ya-Xiang Yuan . A Parallel Line Search Subspace Correction Method for Composite Convex Optimization[J]. Journal of the Operations Research Society of China, 2015 , 3(2) : 163 . DOI: 10.1007/s40305-015-0079-x

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