块对称高斯-塞得分解定理在凸二次规划中的应用



活动地点:腾讯 会议

活动时间:2020-09-21 14:00:00

报告主题:A block symmetric Gauss-Seidel decomposition theorem for convex quadratic programming and its applications (块对称高斯-塞得分解定理在凸二次规划中的应用)

报告人:Kim-Chuan Toh 教授(新加坡国立网址数学系)

报告时间:2020年9月21日(周一) 14:00-16:00

参会方式:腾讯 会议

会议ID:302 840 008

会议密码:200921

会议链接:https://meeting.tencent.com/s/Xbk2rAnqeKOE

主办部门:体育运筹与优化开放实验室-国际科研合作平台、上海市运筹学会、体育理学院数学系

报告摘要:For a multi-block convex composite quadratic programming (CCQP) with an additional nonsmooth term in the first block, we present a block symmetric Gauss-Seidel (sGS) decomposition theorem, which states that each cycle of the block sGS method is equivalent to solving the CCQP with an additional proximal term constructed from the sGS decomposition of the quadratic term. As a basic building block, the sGS decomposition theorem has played a key role in various recently developed algorithms such as the inexact proximal ALM/ADMM for linearly constrained multi-block convex composite conic programming. We demonstrate how our sGS-based ADMM can be applied to solve doubly nonnegative semidefinite programming and Wasserstein barycenter problems.

 

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