A Globally Convergent Algorithm for Nonconvex Optimization Based on Block Coordinate Update

@article{Xu2017AGC,
  title={A Globally Convergent Algorithm for Nonconvex Optimization Based on Block Coordinate Update},
  author={Yangyang Xu and Wotao Yin},
  journal={J. Sci. Comput.},
  year={2017},
  volume={72},
  pages={700-734}
}
Nonconvex optimization arises in many areas of computational science and engineering. However, most nonconvex optimization algorithms are only known to have local convergence or subsequence convergence properties. In this paper, we propose an algorithm for nonconvex optimization and establish its global convergence (of the whole sequence) to a critical point. In addition, we give its asymptotic convergence rate and numerically demonstrate its efficiency. In our algorithm, the variables of the… CONTINUE READING
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