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Projection Generalized Two-Point Extragradient Quasi-Newton Method for Saddle-Point and Other Problems

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Abstract

A method for solving saddle-point and other problems is proposed whereby saddle points are found for a convex-concave continuously differentiable function with Lipschitz partial gradients defined on a convex closed subset of Euclidean space. The convergence of the method and its convergence rate estimate are proved using convex analysis tools without assuming that the function is strongly convex-concave.

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  1. Ulyanovsk State University, 432000, Ulyanovsk, Russia

    V. G. Malinov

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Translated by I. Ruzanova

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Malinov, V.G. Projection Generalized Two-Point Extragradient Quasi-Newton Method for Saddle-Point and Other Problems. Comput. Math. and Math. Phys. 60, 227–239 (2020). https://doi.org/10.1134/S0965542520020104

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