In this work we analyze a first order method especially tailored for smooth saddle point problems, based on an alternating extragradient scheme. The proposed method is based on three successive projection steps, which can be computed also with respect to non Euclidean metrics.
An Alternating Extragradient Method with Non Euclidean Projections for Saddle Point Problems / Bonettini, S.; Ruggiero, V.. - In: COMPUTATIONAL OPTIMIZATION AND APPLICATIONS. - ISSN 1573-2894. - 59:3(2014), pp. 511-540. [10.1007/s10589-014-9650-3]
An Alternating Extragradient Method with Non Euclidean Projections for Saddle Point Problems
Bonettini S.
;
2014
Abstract
In this work we analyze a first order method especially tailored for smooth saddle point problems, based on an alternating extragradient scheme. The proposed method is based on three successive projection steps, which can be computed also with respect to non Euclidean metrics.
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