基于对偶交替方向乘子法求解广义Dantzig选择器问题  

A DUAL ALTERNATING DIRECTION METHOD OF MULTIPLIERS FOR GENERALIZED DANTZIG SELECTOR

作　　者：何文伶 王承竞 王硕 唐培培 He Wenling;Wang Chengjing;Wang Shuo;Tang Peipei(School of Mathematics,Southwest Jiaotong University,Chengdu 611731,China;School of Computer and Computational Sciences,Zhejiang University City College,Hangzhou 311015,China)

机构地区：[1]西南交通大学数学学院,成都611731 [2]浙大城市学院计算机与计算科学学院,杭州310015

出　　处：《数值计算与计算机应用》2023年第2期214-224,共11页Journal on Numerical Methods and Computer Applications

摘　　要：广义Dantzig选择器问题是解决参数估计的有效途径,其中任何范数都可以用于估计.本文采用对偶交替方向乘子法(dual Alternating Direction Method of Multipliers,简称dADMM)求解e_(1)范数,e_(2)范数和e_(∞)范数广义Dantzig选择器问题,并给出了dADMM的全局收敛性和局部线性收敛速度.数值试验验证了dADMM的有效性.The generalized Dantzig selector problem is an effective approach to solve the parameter estimation,where any norm can be used to estimate.This paper adopts a dual alternating direction method of multipliers(dADMM for short)to solve the e_(1),e_(2) and e_(∞) generalized Dantzig selector.The global convergence and local linear convergence rate of dADMM are presented.Numerical experiments demonstrate the effectiveness of the dADMM.

关 键 词：广义Dantzig选择器 增广拉格朗日函数方法 交替方向乘子法 

分 类 号：O212.1[理学—概率论与数理统计]