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Projection generalized two-point extragradient quasi-Newton method for saddle-point and other problems. (English. Russian original) Zbl 1450.65050
Comput. Math. Math. Phys. 60, No. 2, 227-239 (2020); translation from Zh. Vychisl. Mat. Mat. Fiz. 60, No. 2, 221-233 (2020).
Summary: A method for solving saddle-point and other problems is proposed whereby saddle points are found for a convex-concave continuously differentiable function with Lipschitz partial gradients defined on a convex closed subset of Euclidean space. The convergence of the method and its convergence rate estimate are proved using convex analysis tools without assuming that the function is strongly convex-concave.
MSC:
65J99 Numerical analysis in abstract spaces
49M99 Numerical methods in optimal control
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