Faster Lagrangian-Based Methods in Convex Optimization

04.04.2022 15:30 - 16:30

Shoham Sabach (Technion Haifa)

Abstract: This talk presents a simple unifying framework to analyze and improve the convergence rate analysis of Lagrangian-based methods for convex optimization problems. Towards this goal we first introduce the notion of a nice primal algorithmic map, which plays a central role in the unification and in the simplification of the analysis of most Lagrangian-based methods. Equipped with a nice primal algorithmic map, we then define a versatile generic scheme, which allows for the design and analysis of Faster LAGrangian (FLAG) methods with a new provably sublinear rate of convergence expressed in terms of functions values and feasibility violation of the original (non-ergodic) generated sequence. To demonstrate the power and versatility of our approach and results, we show that most well-known iconic Lagrangian-based schemes admit a nice primal algorithmic map, and hence share the new faster rate of convergence results within their corresponding FLAG.

Organiser:
R. I. Boț (U Vienna), S. Sabach (Technion - Israel Institute of Technology Haifa), M. Staudigl (Maastricht U)
Location:
Zoom Meeting