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On the convergence of inexact block coordinate descent methods for constrained optimization

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  • Cassioli, A.
  • Di Lorenzo, D.
  • Sciandrone, M.

Abstract

We consider the problem of minimizing a smooth function over a feasible set defined as the Cartesian product of convex compact sets. We assume that the dimension of each factor set is huge, so we are interested in studying inexact block coordinate descent methods (possibly combined with column generation strategies). We define a general decomposition framework where different line search based methods can be embedded, and we state global convergence results. Specific decomposition methods based on gradient projection and Frank–Wolfe algorithms are derived from the proposed framework. The numerical results of computational experiments performed on network assignment problems are reported.

Suggested Citation

  • Cassioli, A. & Di Lorenzo, D. & Sciandrone, M., 2013. "On the convergence of inexact block coordinate descent methods for constrained optimization," European Journal of Operational Research, Elsevier, vol. 231(2), pages 274-281.
    • Handle: RePEc:eee:ejores:v:231:y:2013:i:2:p:274-281
    DOI: 10.1016/j.ejor.2013.05.049
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    References listed on IDEAS

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    1. NESTEROV, Yurii, 2012. "Efficiency of coordinate descent methods on huge-scale optimization problems," LIDAM Reprints CORE 2511, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. C. J. Lin & S. Lucidi & L. Palagi & A. Risi & M. Sciandrone, 2009. "Decomposition Algorithm Model for Singly Linearly-Constrained Problems Subject to Lower and Upper Bounds," Journal of Optimization Theory and Applications, Springer, vol. 141(1), pages 107-126, April.
    3. P. Tseng & S. Yun, 2009. "Block-Coordinate Gradient Descent Method for Linearly Constrained Nonsmooth Separable Optimization," Journal of Optimization Theory and Applications, Springer, vol. 140(3), pages 513-535, March.
    4. Hillel Bar-Gera, 2002. "Origin-Based Algorithm for the Traffic Assignment Problem," Transportation Science, INFORMS, vol. 36(4), pages 398-417, November.
    5. K. C. Kiwiel, 2007. "On Linear-Time Algorithms for the Continuous Quadratic Knapsack Problem," Journal of Optimization Theory and Applications, Springer, vol. 134(3), pages 549-554, September.
    6. Chihwa Kao & Lung-fei Lee & Mark M. Pitt, 2001. "Simulated Maximum Likelihood Estimation of the Linear Expenditure System with Binding Non-Negativity Constraints," Annals of Economics and Finance, Society for AEF, vol. 2(1), pages 215-235, May.
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    Cited by:

    1. Yudong Wang & Zhi‐Sheng Ye & Hongyuan Cao, 2021. "On computation of semiparametric maximum likelihood estimators with shape constraints," Biometrics, The International Biometric Society, vol. 77(1), pages 113-124, March.
    2. S. Bonettini & M. Prato & S. Rebegoldi, 2018. "A block coordinate variable metric linesearch based proximal gradient method," Computational Optimization and Applications, Springer, vol. 71(1), pages 5-52, September.
    3. Amir Beck, 2014. "The 2-Coordinate Descent Method for Solving Double-Sided Simplex Constrained Minimization Problems," Journal of Optimization Theory and Applications, Springer, vol. 162(3), pages 892-919, September.
    4. Leonardo Galli & Alessandro Galligari & Marco Sciandrone, 2020. "A unified convergence framework for nonmonotone inexact decomposition methods," Computational Optimization and Applications, Springer, vol. 75(1), pages 113-144, January.
    5. Tommaso Colombo & Simone Sagratella, 2020. "Distributed algorithms for convex problems with linear coupling constraints," Journal of Global Optimization, Springer, vol. 77(1), pages 53-73, May.
    6. Bonettini, Silvia & Prato, Marco & Rebegoldi, Simone, 2016. "A cyclic block coordinate descent method with generalized gradient projections," Applied Mathematics and Computation, Elsevier, vol. 286(C), pages 288-300.
    7. Rachael Tappenden & Peter Richtárik & Jacek Gondzio, 2016. "Inexact Coordinate Descent: Complexity and Preconditioning," Journal of Optimization Theory and Applications, Springer, vol. 170(1), pages 144-176, July.
    8. Kimon Fountoulakis & Rachael Tappenden, 2018. "A flexible coordinate descent method," Computational Optimization and Applications, Springer, vol. 70(2), pages 351-394, June.

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