A Dynamical Approach to Two-Block Separable Convex Optimization Problems with Linear Constraints. (13th November 2020) - Bitterlich, Sandy
Abstract: The aim of this manuscript is to approach by means of first order differential equations/inclusions convex programming problems with two-block separable linear constraints and objectives, whereby (at least) one of the components of the latter is assumed to be strongly convex. Each block of the objective contains a further smooth convex function. We investigate the dynamical system proposed and prove that its trajectories converge weakly to a saddle point of the Lagrangian of the convex optimization problem. The dynamical system provides through time discretization the alternating minimization algorithm AMA and also its proximal variant recently introduced in the literature.