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Application of a Smoothing Technique to Decomposition in Convex Optimization

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2 Author(s)
Ion Necoara ; Dept. of Electr. Eng., Katholieke Univ. Leuven, Leuven ; Johan A. K. Suykens

Dual decomposition is a powerful technique for deriving decomposition schemes for convex optimization problems with separable structure. Although the augmented Lagrangian is computationally more stable than the ordinary Lagrangian, the ldquoprox-termrdquo destroys the separability of the given problem. In this technical note we use another approach to obtain a smooth Lagrangian, based on a smoothing technique developed by Nesterov, which preserves separability of the problem. With this approach we derive a new decomposition method, called ldquoproximal center algorithm,rdquo which from the viewpoint of efficiency estimates improves the bounds on the number of iterations of the classical dual gradient scheme by an order of magnitude.

Published in:

IEEE Transactions on Automatic Control  (Volume:53 ,  Issue: 11 )