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The Elicited Progressive Decoupling Algorithm: A Note on the Rate of Convergence and a Preliminary Numerical Experiment on the Choice of Parameters

Authors :
Min Zhang
Jie Sun
Source :
Set-Valued and Variational Analysis. 29:997-1018
Publication Year :
2021
Publisher :
Springer Science and Business Media LLC, 2021.

Abstract

The paper studies the progressive decoupling algorithm (PDA) of Rockafellar and focuses on the elicited version of the algorithm. Based on a generalized Yosida-regularization of Spingarn’s partial inverse of an elicitable operator, it is shown that the elicited progressive decoupling algorithm (EPDA), in a particular nonmonotone setting, linearly converges at a rate that could be viewed as the rate of a rescaled PDA, which may provide certain guidance to the selection of the parameters in computational practice. A preliminary numerical experiment shows that the choice of the elicitation constant has an impact on the efficiency of the EPDA. It is also observed that the influence of the elicitation constant is generally weaker than the proximal constant in the algorithm.

Details

ISSN :
18770541 and 18770533
Volume :
29
Database :
OpenAIRE
Journal :
Set-Valued and Variational Analysis
Accession number :
edsair.doi...........18a9731bb7a451c0774cbf15f65e7206