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An Optimization Problems with a Composite Objective Function

In: Convex Optimization with Computational Errors

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  • Alexander Zaslavski

    (Israel Institute of Technology)

Abstract

In this chapter we study an algorithm for minimization of the sum of two functions, the first one being smooth and convex and the second being convex. For this algorithm each iteration consists of two steps. The first step is a calculation of a subgradient of the first function while the second one is a proximal gradient step for the second function. In each of these two steps there is a computational error. In general, these two computational errors are different. We show that our algorithm generates a good approximate solution, if all the computational errors are bounded from above by a small positive constant. Moreover, if we know the computational errors for the two steps of our algorithm, we find out what approximate solution can be obtained and how many iterates one needs for this.

Suggested Citation

  • Alexander Zaslavski, 2020. "An Optimization Problems with a Composite Objective Function," Springer Optimization and Its Applications, in: Convex Optimization with Computational Errors, chapter 0, pages 243-258, Springer.
  • Handle: RePEc:spr:spochp:978-3-030-37822-6_7
    DOI: 10.1007/978-3-030-37822-6_7
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