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http://hdl.handle.net/10397/75715
Title: | Peaceman-Rachford splitting for a class of nonconvex optimization problems | Authors: | Li, G Liu, T Pong, TK |
Issue Date: | Nov-2017 | Source: | Computational optimization and applications, Nov. 2017, v. 68, no. 2, p. 407-436 | Abstract: | We study the applicability of the Peaceman-Rachford (PR) splitting method for solving nonconvex optimization problems. When applied to minimizing the sum of a strongly convex Lipschitz differentiable function and a proper closed function, we show that if the strongly convex function has a large enough strong convexity modulus and the step-size parameter is chosen below a threshold that is computable, then any cluster point of the sequence generated, if exists, will give a stationary point of the optimization problem. We also give sufficient conditions guaranteeing boundedness of the sequence generated. We then discuss one way to split the objective so that the proposed method can be suitably applied to solving optimization problems with a coercive objective that is the sum of a (not necessarily strongly) convex Lipschitz differentiable function and a proper closed function; this setting covers a large class of nonconvex feasibility problems and constrained least squares problems. Finally, we illustrate the proposed algorithm numerically. | Keywords: | Peaceman-Rachford splitting Feasibility problems Nonconvex optimization problems Global convergence |
Publisher: | Springer | Journal: | Computational optimization and applications | ISSN: | 0926-6003 | EISSN: | 1573-2894 | DOI: | 10.1007/s10589-017-9915-8 | Rights: | © Springer Science+Business Media New York 2017 This version of the article has been accepted for publication, after peer review (when applicable) and is subject to Springer Nature’s AM terms of use (https://www.springernature.com/gp/open-research/policies/accepted-manuscript-terms), but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: http://dx.doi.org/10.1007/s10589-017-9915-8 |
Appears in Collections: | Journal/Magazine Article |
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