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Accelerated dual-averaging primal–dual method for composite convex minimization
Published in Optimization Methods and Software, 2020
Conghui Tan, Yuqiu Qian, Shiqian Ma, Tong Zhang
In this paper, we consider minimizing the following composite convex function:
where , and both and are convex closed functions. Here f can be either smooth or non-smooth, and we assume g has easy proximal mapping. Problem (1) covers a wide range of applications. For example, choosing f to be the indicator function of a convex set corresponds to minimizing a convex function over a polyhedron. It covers the Lasso problem [21]
by setting and . Another application of the form (1) is the support vector machine (SVM):
where is the feature vector of the ith data sample and is the corresponding label.