Robustness of the hybrid extragradient proximal-point algorithm

Citation
Rs. Burachik et al., Robustness of the hybrid extragradient proximal-point algorithm, J OPTIM TH, 111(1), 2001, pp. 117-136
Citations number
30
Categorie Soggetti
Engineering Mathematics
Journal title
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
ISSN journal
00223239 → ACNP
Volume
111
Issue
1
Year of publication
2001
Pages
117 - 136
Database
ISI
SICI code
0022-3239(200110)111:1<117:ROTHEP>2.0.ZU;2-L
Abstract
The hybrid extragradient proximal-point method recently proposed by Solodov and Svaiter has the distinctive feature of allowing a relative error toler ance. We extend the error tolerance of this method, proving that it converg es even if a summable error is added to the relative error. Furthermore, th e extragradient step may be performed inexactly with a summable error. We p resent a convergence analysis, which encompasses other well-known variation s of the proximal-point method, previously unrelated. We establish weak glo bal convergence under mild assumptions.