4.6 Article

ACTIVE-SET IDENTIFICATION WITH COMPLEXITY GUARANTEES OF AN ALMOST CYCLIC 2-COORDINATE DESCENT METHOD WITH ARMIJO LINE SEARCH

Journal

SIAM JOURNAL ON OPTIMIZATION
Volume 32, Issue 2, Pages 739-764

Publisher

SIAM PUBLICATIONS
DOI: 10.1137/20M1328014

Keywords

active-set identification; surface identification; manifold identification; active-set complexity; block coordinate descent methods

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This paper presents a finite active-set identification method for problems with one linear coupling constraint and simple bounds. The method is based on an almost cyclic 2-coordinate descent approach, and utilizes a simple Armijo line search to compute the stepsize, eliminating the need for exact minimizations or additional information.
This paper establishes finite active-set identification of an almost cyclic 2-coordinate descent method for problems with one linear coupling constraint and simple bounds. First, general active-set identification results are stated for nonconvex objective functions. Then, under convexity and a quadratic growth condition (satisfied by any strongly convex function), complexity results on the number of iterations required to identify the active set are given. In our analysis, a simple Armijo line search is used to compute the stepsize, thus not requiring exact minimizations or additional information.

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