A primal–dual algorithm for minimizing a sum of Euclidean norms

摘要

We study the problem of minimizing a sum of Euclidean norms. This nonsmooth optimization problem arises in many different kinds of modern scientific applications. In this paper we first transform this problem and its dual problem into a system of strongly semismooth equations, and give some uniqueness theorems for this problem. We then present a primal–dual algorithm for this problem by solving this system of strongly semismooth equations. Preliminary numerical results are reported, which show that this primal–dual algorithm is very promising.