优化算法汇总boydproximal-algorithms

《优化算法汇总boydproximal-algorithms》由会员上传分享，免费在线阅读，更多相关内容在应用文档-天天文库。

1、ProximalAlgorithmsNealParikhDepartmentofComputerScienceStanfordUniversitynpparikh@cs.stanford.eduStephenBoydDepartmentofElectricalEngineeringStanfordUniversityboyd@stanford.eduContents1Introduction1231.1Definition..........................1241.2Interpretati

2、ons........................1241.3Proximalalgorithms.....................1261.4Whatthispaperisabout..................1271.5Relatedwork.........................1281.6Outline............................1282Properties1292.1Separablesum........................12

3、92.2Basicoperations.......................1302.3Fixedpoints.........................1301.1Proximalaverage......................1331.2Moreaudecomposition...................1332Interpretations1352.1Moreau-Yosidaregularization................1352.2Resolventofs

4、ubdifferentialoperator............1372.3Modifiedgradientstep...................1382.4Trustregionproblem....................1392.5Notesandreferences....................140iiiii3ProximalAlgorithms1423.1Proximalminimization....................1423.2Proximalgra

5、dientmethod..................1483.3Acceleratedproximalgradientmethod...........1523.4Alternatingdirectionmethodofmultipliers.........1533.5Notesandreferences....................1594ParallelandDistributedAlgorithms1614.1Problemstructure......................

6、1614.2Consensus..........................1634.3Exchange...........................1674.4Allocation..........................1704.5Notesandreferences....................1715EvaluatingProximalOperators1725.1Genericmethods.......................1731.1Polyhedra

7、..........................1791.2Cones............................1831.3Pointwisemaximumandsupremum.............1851.4Normsandnormballs....................1871.5Sublevelsetandepigraph..................1901.6Matrixfunctions.......................1911.7Notesan

8、dreferences....................1942ExamplesandApplications1962.1Lasso.............................1962.2Matrixdecomposition....................2002.3Multi-periodportfoliooptimization.............2042.4