A hyperbolic penalty method to solve structured convex minimization problems

Abstract

This paper presents a decomposition algorithm based on the smooth hyperbolic penalty, which leads to a scheme suitable for parallelized computations. The proposed algorithm can be seen as a separable version of the earlier hyperbolic penalty method built, and its main idea is related to a penalty-type scheme mixed with a kind of resource allocation approach to decompose large scale separable constrained minimization programs.