Variable metric proximal decomposition methods

PARENTE L. A.; LOTITO P. A; SOLODOV, M.

Quito - Ecuador

Workshop; LAWOC 2008; 2008

In this work, we extend the general decomposition scheme known as Hybrid Proximal Decomposition Method (HPDM). This extended method deals with two kinds of inexactness in both stages of the decomposition scheme and allows for the use of a variable metric in the subproblems. We prove global convergence and we characterize the local linear convergence rate. Also, we show that the Splitting Method for Composite Mappings proposed by Pennanen and the Proximal Alternating Directions Method proposed by He et al. can be put in this scheme as special cases.for the use of a variable metric in the subproblems. We prove global convergence and we characterize the local linear convergence rate. Also, we show that the Splitting Method for Composite Mappings proposed by Pennanen and the Proximal Alternating Directions Method proposed by He et al. can be put in this scheme as special cases.