A first order method for finding minimal norm-like solutions of convex optimization problems

Amir Beck*, Shoham Sabach

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

31 Scopus citations

Abstract

We consider a general class of convex optimization problems in which one seeks to minimize a strongly convex function over a closed and convex set which is by itself an optimal set of another convex problem. We introduce a gradient-based method, called the minimal norm gradient method, for solving this class of problems,and establish the convergence of the sequence generated by the algorithm as well as a rate of convergence of the sequence of function values.

Original languageEnglish
Pages (from-to)25-46
Number of pages22
JournalMathematical Programming
Volume147
Issue number1
DOIs
StatePublished - 2014
Externally publishedYes

Funding

FundersFunder number
Israel Science Foundation253/12

    Keywords

    • Bilevel optimization
    • Complexity analysis
    • Convex minimization
    • Minimal norm solution

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