191 research outputs found
Best Approximation from the Kuhn-Tucker Set of Composite Monotone Inclusions
Kuhn-Tucker points play a fundamental role in the analysis and the numerical
solution of monotone inclusion problems, providing in particular both primal
and dual solutions. We propose a class of strongly convergent algorithms for
constructing the best approximation to a reference point from the set of
Kuhn-Tucker points of a general Hilbertian composite monotone inclusion
problem. Applications to systems of coupled monotone inclusions are presented.
Our framework does not impose additional assumptions on the operators present
in the formulation, and it does not require knowledge of the norm of the linear
operators involved in the compositions or the inversion of linear operators
The stochastic porous media equation in
Existence and uniqueness of solutions to the stochastic porous media equation
dX-\D\psi(X) dt=XdW in \rr^d are studied. Here, is a Wiener process,
is a maximal monotone graph in \rr\times\rr such that , \ff r\in\rr, is a coloured Wiener process. In this general case
the dimension is restricted to , the main reason being the absence of a
convenient multiplier result in the space
\calh=\{\varphi\in\mathcal{S}'(\rr^d);\ |\xi|(\calf\varphi)(\xi)\in
L^2(\rr^d)\}, for . When is Lipschitz, the well-posedness,
however, holds for all dimensions on the classical Sobolev space
H^{-1}(\rr^d). If and , we
prove the finite time extinction with strictly positive probability
Variable Metric Forward-Backward Splitting with Applications to Monotone Inclusions in Duality
We propose a variable metric forward-backward splitting algorithm and prove
its convergence in real Hilbert spaces. We then use this framework to derive
primal-dual splitting algorithms for solving various classes of monotone
inclusions in duality. Some of these algorithms are new even when specialized
to the fixed metric case. Various applications are discussed
An asymptotically superlinearly convergent semismooth Newton augmented Lagrangian method for Linear Programming
Powerful interior-point methods (IPM) based commercial solvers, such as
Gurobi and Mosek, have been hugely successful in solving large-scale linear
programming (LP) problems. The high efficiency of these solvers depends
critically on the sparsity of the problem data and advanced matrix
factorization techniques. For a large scale LP problem with data matrix
that is dense (possibly structured) or whose corresponding normal matrix
has a dense Cholesky factor (even with re-ordering), these solvers may require
excessive computational cost and/or extremely heavy memory usage in each
interior-point iteration. Unfortunately, the natural remedy, i.e., the use of
iterative methods based IPM solvers, although can avoid the explicit
computation of the coefficient matrix and its factorization, is not practically
viable due to the inherent extreme ill-conditioning of the large scale normal
equation arising in each interior-point iteration. To provide a better
alternative choice for solving large scale LPs with dense data or requiring
expensive factorization of its normal equation, we propose a semismooth Newton
based inexact proximal augmented Lagrangian ({\sc Snipal}) method. Different
from classical IPMs, in each iteration of {\sc Snipal}, iterative methods can
efficiently be used to solve simpler yet better conditioned semismooth Newton
linear systems. Moreover, {\sc Snipal} not only enjoys a fast asymptotic
superlinear convergence but is also proven to enjoy a finite termination
property. Numerical comparisons with Gurobi have demonstrated encouraging
potential of {\sc Snipal} for handling large-scale LP problems where the
constraint matrix has a dense representation or has a dense
factorization even with an appropriate re-ordering.Comment: Due to the limitation "The abstract field cannot be longer than 1,920
characters", the abstract appearing here is slightly shorter than that in the
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