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Mathematics and Statistics Colloquium
Date/Time/Room:
Friday (2/17/2006) at 2:30pm in 304 Pickard Hall "The proximal point algorithm and an augmented lagrangean method for optimization"Abstract: In this talk we present a method of solving convex optimization problems which also works in infinite dimensional spaces. The method is based on a generalized proximal point algorithm. We show that application of the generalized proximal point algorithm to the dual optimization problem in conjunction with an iterative procedure of updating the primal variables produces sequences of vectors (x^k,y^k) in the primal-dual space which, in certain conditions, approximate solutions of the Karush-Kuhn-Tucker system associated to the primal problem and, implicitly, optimal pairs.
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