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A stochastic coordinate descent splitting primal-dual fixed point algorithm and applications to large-scale composite optimization (1604.04282v1)

Published 14 Apr 2016 in math.OC

Abstract: We consider the problem of finding the minimizations of the sum of two convex functions and the composition of another convex function with a continuous linear operator from the view of fixed point algorithms based on proximity operators, which is is inspired by recent results of Chen, Huang and Zhang. With the idea of coordinate descent, we design a stochastic coordinate descent splitting primal- dual fixed point algorithm. Based on randomized krasnosel'skii mann iterations and the firmly nonexpansive properties of the proximity operator, we achieve the convergence of the proposed algorithms.

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