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  • 标题:First-order methods of smooth convex optimization with inexact oracle.
  • 本地全文:下载
  • 作者:Olivier DEVOLDER ; François GLINEUR ; Yu. NESTEROV.
  • 期刊名称:CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
  • 出版年度:2011
  • 卷号:2011
  • 期号:1
  • 出版社:Center for Operations Research and Econometrics (UCL), Louvain
  • 摘要:In this paper, we analyze different first-order methods of smooth convex optimization employing inexact first-order information. We introduce the notion of an approximate first-order oracle. The list of examples of such an oracle includes smoothing technique, Moreau-Yosida regularization, Modified Lagrangians, and many others. For different methods, we derive complexity estimates and study the dependence of the desired ac- curacy in the objective function and the accuracy of the oracle. It appears that in inexact case, the superiority of the fast gradient methods over the classical ones is not anymore absolute. Contrary to the simple gradient schemes, fast gradient methods necessarily suffer from accumulation of errors. Thus, the choice of the method depends both on desired accuracy and accuracy of the oracle. We present applications of our results to smooth convexconcave saddle point problems, to the analysis of Modified Lagrangians, to the prox-method, and some others.
  • 关键词:smooth convex optimization, first-order methods, inexact oracle, gradient methods, fast gradient methods, complexity bounds
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