RAPID: Rapidly Accelerated Proximal Gradient Algorithms for Convex Minimization

13 Jun 2014Ziming ZhangVenkatesh Saligrama

In this paper, we propose a new algorithm to speed-up the convergence of accelerated proximal gradient (APG) methods. In order to minimize a convex function $f(\mathbf{x})$, our algorithm introduces a simple line search step after each proximal gradient step in APG so that a biconvex function $f(\theta\mathbf{x})$ is minimized over scalar variable $\theta>0$ while fixing variable $\mathbf{x}$... (read more)

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