Bundle methods for dual atomic pursuit
Abstract
The aim of structured optimization is to assemble a solution, using a given set of (possibly uncountably infinite) atoms, to fit a model to data. A twostage algorithm based on gauge duality and bundle method is proposed. The first stage discovers the optimal atomic support for the primal problem by solving a sequence of approximations of the dual problem using a bundletype method. The second stage recovers the approximate primal solution using the atoms discovered in the first stage. The overall approach leads to implementable and efficient algorithms for large problems.
 Publication:

arXiv eprints
 Pub Date:
 October 2019
 arXiv:
 arXiv:1910.13650
 Bibcode:
 2019arXiv191013650F
 Keywords:

 Mathematics  Optimization and Control
 EPrint:
 53rd Annual Asilomar Conference on Signals, Systems, and Computers