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Some properties of generalized proximal point methods for quadratic and linear programming

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Abstract

The proximal point method for convex optimization has been extended recently through the use of generalized distances (e.g., Bregman distances) instead of the Euclidean one. One advantage of these extensions is the possibility of eliminating certain constraints (mainly positivity) from the subproblems, transforming an inequality constrained problem into a sequence of unconstrained or equality constrained problems. We consider here methods obtained using a certain class of Bregman functions applied to convex quadratic (including linear) programming, which are of the interior-point type. We prove that the limit of the sequence generated by the method lies in the relative interior of the solution set, and furthermore is the closest optimal solution to the initial point, in the sense of the Bregman distance. These results do not hold for the standard proximal point method, i.e., when the square of the Euclidean norm is used as the Bregman distance.

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Authors and Affiliations

  1. Instituto de Matemática Pura e Aplicada, Rio de Janeiro, Rio Janeiro, Brazil

    A. N. Iusem (Researcher)

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  1. A. N. Iusem
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Additional information

Communicated by O. L. Mangasarian

The research leading to this paper was partially supported by CNPq Grant 301280/86.

We thank two anonymous referees whose comments and suggestions allowed us to improve our results in a significant way.

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Iusem, A.N. Some properties of generalized proximal point methods for quadratic and linear programming. J Optim Theory Appl 85, 593–612 (1995). https://doi.org/10.1007/BF02193058

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