Solving Non-smooth Constrained Programs with Lower Complexity than $\mathcal{O}(1/\epsilon )$: A Primal-Dual Homotopy Smoothing Approach

Xiaohan Wei, Hao Yu, Qing Ling +1

We propose a new primal-dual homotopy smoothing algorithm for a linearly constrained convex program, where neither the primal nor the dual function has to be smooth or strongly con…