Orateur
Théo Molfessis
(École Polytechnique)
Description
Progressive Hedging and Proximal Decomposition are popular splitting methods for large-scale stochastic optimization. We present a formal equivalence between Progressive Hedging and Proximal Decomposition when the nonanticipativity constraint is a subspace, as well as a result of linear convergence of their bundle versions under standard error-bound assumptions once an infinite null-step tail appears—a situation for which convergence rates in bundle methods have not been analyzed previously.
Joint work with Felipe Atenas, Claudia Sagastizábal and Mikhail Solodov
Author
Théo Molfessis
(École Polytechnique)
