Local convergence of proximal splitting methods for rank constrained problems

Christian Grussler, Pontus Giselsson

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

We analyze the local convergence of proximal splitting algorithms to solve optimization problems that are convex besides a rank constraint. For this, we show conditions under which the proximal operator of a function involving the rank constraint is locally identical to the proximal operator of its convex envelope, hence implying local convergence. The conditions imply that the non-convex algorithms locally converge to a solution whenever a convex relaxation involving the convex envelope can be expected to solve the non-convex problem.

Original languageEnglish
Title of host publication2017 IEEE 56th Annual Conference on Decision and Control, CDC 2017
Pages702-708
Number of pages7
ISBN (Electronic)9781509028733
DOIs
StatePublished - 28 Jun 2017
Externally publishedYes
Event56th IEEE Annual Conference on Decision and Control, CDC 2017 - Melbourne, Australia
Duration: 12 Dec 201715 Dec 2017

Publication series

Name2017 IEEE 56th Annual Conference on Decision and Control, CDC 2017
Volume2018-January

Conference

Conference56th IEEE Annual Conference on Decision and Control, CDC 2017
Country/TerritoryAustralia
CityMelbourne
Period12/12/1715/12/17

All Science Journal Classification (ASJC) codes

  • Decision Sciences (miscellaneous)
  • Industrial and Manufacturing Engineering
  • Control and Optimization

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