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
Type de document :
Rapport
[Research Report] RR-2610, INRIA. 1995
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https://hal.inria.fr/inria-00074075
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Soumis le : mercredi 24 mai 2006 - 14:26:36
Dernière modification le : samedi 17 septembre 2016 - 01:35:42
Document(s) archivé(s) le : lundi 5 avril 2010 - 00:04:26

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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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