Active-set identification with complexity guarantees of an almost cyclic 2-coordinate descent method with Armijo line search
Optimization and Control
2021-07-19 v3
Abstract
In this paper, it is established finite active-set identification of an almost cyclic 2-coordinate descent method for problems with one linear coupling constraint and simple bounds. First, general active-set identification results are stated for non-convex objective functions. Then, under convexity and a quadratic growth condition (satisfied by any strongly convex function), complexity results on the number of iterations required to identify the active set are given. In our analysis, a simple Armijo line search is used to compute the stepsize, thus not requiring exact minimizations or additional information.
Keywords
Cite
@article{arxiv.2103.04891,
title = {Active-set identification with complexity guarantees of an almost cyclic 2-coordinate descent method with Armijo line search},
author = {Andrea Cristofari},
journal= {arXiv preprint arXiv:2103.04891},
year = {2021}
}