• Mathematics, Computer Science
  • Published in SIAM Journal on Optimization 2012
  • DOI:10.1137/110826102

Double Smoothing Technique for Large-Scale Linearly Constrained Convex Optimization

@article{Devolder2012DoubleST,
  title={Double Smoothing Technique for Large-Scale Linearly Constrained Convex Optimization},
  author={Olivier Devolder and François Glineur and Yurii Nesterov},
  journal={SIAM Journal on Optimization},
  year={2012},
  volume={22},
  pages={702-727}
}
In this paper, we propose an efficient approach for solving a class of large-scale convex optimization problems. The problem we consider is the minimization of a convex function over a simple (possibly infinite-dimensional) convex set, under the additional constraint $\mathcal{A}u \in T$, where $\mathcal{A}$ is a linear operator and $T$ is a convex set whose dimension is small compared to the dimension of the feasible region. In our approach, we dualize the linear constraints, solve the… CONTINUE READING

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