Decomposition Methods for Differentiable Optimization Problems overCartesian Product Sets

  • Authors:
  • Michael Patriksson

  • Affiliations:
  • Department of Mathematics, University of Washington, Seattle, WA

  • Venue:
  • Computational Optimization and Applications
  • Year:
  • 1998

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Abstract

This paper presents a unified analysis of decomposition algorithmsfor continuously differentiable optimization problems defined onCartesian products of convex feasible sets. The decompositionalgorithms are analyzed using the framework of cost approximationalgorithms. A convergence analysis is made for three decompositionalgorithms: a sequential algorithm which extends the classicalGauss-Seidel scheme, a synchronized parallel algorithm which extendsthe Jacobi method, and a partially asynchronous parallelalgorithm. The analysis validates inexact computations in both thesubproblem and line search phases, and includes convergence rateresults. The range of feasible step lengths within each algorithm isshown to have a direct correspondence to the increasing degree ofparallelism and asynchronism, and the resulting usage of moreoutdated information in the algorithms.