Mathematical Programming

, Volume 142, Issue 1–2, pp 269–310

Randomized first order algorithms with applications to 1-minimization

  • Anatoli Juditsky
  • Fatma Kılınç Karzan
  • Arkadi Nemirovski
Full Length Paper Series A

DOI: 10.1007/s10107-012-0575-2

Cite this article as:
Juditsky, A., Kılınç Karzan, F. & Nemirovski, A. Math. Program. (2013) 142: 269. doi:10.1007/s10107-012-0575-2

Abstract

In this paper we propose randomized first-order algorithms for solving bilinear saddle points problems. Our developments are motivated by the need for sublinear time algorithms to solve large-scale parametric bilinear saddle point problems where cheap online assessment of the solution quality is crucial. We present the theoretical efficiency estimates of our algorithms and discuss a number of applications, primarily to the problem of 1 minimization arising in sparsity-oriented signal processing. We demonstrate, both theoretically and by numerical examples, that when seeking for medium-accuracy solutions of large-scale 1 minimization problems, our randomized algorithms outperform significantly (and progressively as the sizes of the problem grow) the state-of-the art deterministic methods.

Mathematics Subject Classification

90C25 90C47 90C06 65K15 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer and Mathematical Optimization Society 2012

Authors and Affiliations

  • Anatoli Juditsky
    • 1
  • Fatma Kılınç Karzan
    • 2
  • Arkadi Nemirovski
    • 3
  1. 1.LJK, Université J. FourierGrenoble Cedex 9France
  2. 2.Carnegie Mellon UniversityPittsburghUSA
  3. 3.Georgia Institute of TechnologyAtlantaUSA

Personalised recommendations