TY - JOUR
T1 - A simple algorithm for a class of nonsmooth convex-concave saddle-point problems
AU - Drori, Yoel
AU - Sabach, Shoham
AU - Teboulle, Marc
N1 - Publisher Copyright:
© 2015 Elsevier B.V. All rights reserved.
PY - 2015/3
Y1 - 2015/3
N2 - We introduce a novel algorithm for solving a class of structured nonsmooth convex-concave saddle-point problems involving a smooth function and a sum of finitely many bilinear terms and nonsmooth functions. The proposed method is simple and proven to globally converge to a saddle-point with an O(1/ε) efficiency estimate. We demonstrate its usefulness for tackling a broad class of minimization models with a finitely sum of composite nonsmooth functions.
AB - We introduce a novel algorithm for solving a class of structured nonsmooth convex-concave saddle-point problems involving a smooth function and a sum of finitely many bilinear terms and nonsmooth functions. The proposed method is simple and proven to globally converge to a saddle-point with an O(1/ε) efficiency estimate. We demonstrate its usefulness for tackling a broad class of minimization models with a finitely sum of composite nonsmooth functions.
KW - Iteration complexity
KW - Nonsmooth convex minimization
KW - Saddle-point problems
UR - http://www.scopus.com/inward/record.url?scp=84924733929&partnerID=8YFLogxK
U2 - 10.1016/j.orl.2015.02.001
DO - 10.1016/j.orl.2015.02.001
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AN - SCOPUS:84924733929
SN - 0167-6377
VL - 43
SP - 209
EP - 214
JO - Operations Research Letters
JF - Operations Research Letters
IS - 2
ER -