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A customized Douglas-Rachford splitting algorithm and its application in Dantzig Selector
【2014.1.21 9:15am,Z311】

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 2014-1-19 

  Colloquia & Seminars 

  Speaker

  Prof.Deren Han,School of Mathematical Sciences, Nanjing Normal University

  Title

     A customized Douglas-Rachford splitting algorithm and its application in Dantzig Selector             

  Time

  2014.1.21 9:15am                                  

  Venue

  Z311 

  Abstract

 We consider applying the Douglas-Rachford splitting method (DRSM) to the convex minimization problem with linear constraints and a separable objective function. The dual application of DRSM has been well studied in the literature, resulting in the well known alternating direction method of multipliers (ADMM). In this paper, we show that the primal application of DRSM in combination with an appropriate decomposition can yield an efficient structure-exploiting algorithm for the model under consideration, whose subproblems could be easier than those of ADMM. Both the exact and inexact versions of this customized DRSM are studied; and their numerical efficiency is demonstrated by some preliminary numerical results. We apply the algorithm to Dantzig Selector and compare it with some other splitting-type methods. Finally, some extensions are discussed.

  Affiliation

 

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