A Parallel Line Search Subspace Correction Method for Composite Convex Optimization
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
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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