D. Leventhal | Searcharxiv

arXiv2009

Metric Subregularity and the Proximal Point Method

We examine the linear convergence rates of variants of the proximal point method for finding zeros of maximal monotone operators. We begin by showing how metric subregularity is sufficient for linear convergence to a zero of a maximal monotone operator. This result is then generalized to obtain convergence rates for the problem of finding a common zero of multiple monotone operators by considering randomized and averaged proximal methods.

math.OC↗

arXiv2008

Randomized Methods for Linear Constraints: Convergence Rates and Conditioning

We study randomized variants of two classical algorithms: coordinate descent for systems of linear equations and iterated projections for systems of linear inequalities. Expanding on a recent randomized iterated projection algorithm of Strohmer and Vershynin for systems of linear equations, we show that, under appropriate probability distributions, the linear rates of convergence (in expectation) can be bounded in terms of natural linear-algebraic condition numbers for the problems. We relate these condition measures to distances to ill-posedness, and discuss generalizations to convex systems under metric regularity assumptions.

math.OC↗