Excessive Gap Technique in Nonsmooth Convex Minimization

  • Authors:
  • Yu. Nesterov

  • Affiliations:
  • -

  • Venue:
  • SIAM Journal on Optimization
  • Year:
  • 2005

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Abstract

In this paper we introduce a new primal-dual technique for convergence analysis of gradient schemes for nonsmooth convex optimization. As an example of its application, we derive a primal-dual gradient method for a special class of structured nonsmooth optimization problems, which ensures a rate of convergence of order O(1/k), where k is the iteration count. Another example is a gradient scheme, which minimizes a nonsmooth strongly convex function with known structure with rate of convergence O(1/k2). In both cases the efficiency of the methods is higher than the corresponding black-box lower complexity bounds by an order of magnitude.