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Corpus ID: 232320645

Optimization Methods for Fully Composite Problems

@inproceedings{Doikov2021OptimizationMF,
title={Optimization Methods for Fully Composite Problems},
author={Nikita Doikov and Y. Nesterov},
year={2021}
}

In this paper, we propose a new Fully Composite Formulation of convex optimization problems. It includes, as a particular case, the problems with functional constraints, max-type minimization problems, and problems of Composite Minimization, where the objective can have simple nondifferentiable components. We treat all these formulations in a unified way, highlighting the existence of very natural optimization schemes of different order. We prove the global convergence rates for our methods… Expand