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Proximal-Point Algorithm for Minimizing Quadratic Functions

Guillaume Vige 1
1 PROMATH - Mathematical Programming
Inria Paris-Rocquencourt
Abstract : The proximal-point algorithm is studied in the framework of the minimization of a quadratic function. In this context it can also be used to compute the least eigenvalue of the hessian and an associated eigenvector. The speed of convergence is analysed and a connection with the power method is pointed out. A modified algorithm with quadratic convergen- ce is studied. Numerical tests assess the theoretical results
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https://hal.inria.fr/inria-00074075
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Submitted on : Wednesday, May 24, 2006 - 2:26:36 PM
Last modification on : Thursday, February 3, 2022 - 11:17:49 AM
Long-term archiving on: : Monday, April 5, 2010 - 12:04:26 AM

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  • HAL Id : inria-00074075, version 1

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Guillaume Vige. Proximal-Point Algorithm for Minimizing Quadratic Functions. [Research Report] RR-2610, INRIA. 1995. ⟨inria-00074075⟩

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