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An Inexact Proximal Augmented Lagrangian Framework with Arbitrary Linearly Convergent Inner Solver for Composite Convex Optimization

Speaker

Zheng Qu, University of Hong Kong

Time

2019.12.16 15:00-16:00

Venue

Room 706, No.6 Science Building

Abstract

We propose an inexact proximal augmented Lagrangian framework with explicit inner problem termination rule for composite convex optimization problems. We consider arbitrary linearly convergent inner solver including in particular stochastic algorithms, making the resulting framework more scalable facing the ever-increasing problem dimension. Each subproblem is solved inexactly with an explicit and self-adaptive stopping criterion, without requiring to set an a priori target accuracy. Within the general framework that we propose, we obtain the first iteration complexity bounds under relative smoothness assumption on the differentiable component of the objective function. We show through theoretical analysis as well as numerical experiments the computational speedup achieved by the use of randomized inner solvers for large-scale problems.