Fast Approximation Schemes for Convex Programs with Many Blocks and Coupling Constraints

Abstract

This paper presents block-coordinate descent algorithms for the approximate solution of large structured convex programming problems. The constraints of such problems consist of K disjoint convex compact sets $B^k $ called blocks, and M nonnegative-valued convex block-separable inequalities called coupling or resource constraints. The algorithms are based on an exponential potential function reduction technique. It is shown that feasibility as well as min-mix resource-sharing problems for such constraints can be solved to a relative accuracy $\varepsilon$ in $O( K\ln M ( \varepsilon^{ - 2} + \ln K ) )$ iterations, each of which solves K block problems to a comparable accuracy, either sequentially or in parallel. The same bound holds for the expected number of iterations of a randomized variant of the algorithm which uniformly selects a random block to process at each iteration. An extension to objective and constraint functions of arbitrary sign is also presented. The above results yield fast approximation schemes for a number of applications such as problems with additively separable functions, generalized concurrent flows with side constraints, linear and nonlinear supply-sharing transportation networks, and deterministic equivalents of certain two-stage stochastic programs. Another consequence of this analysis is that, for a fixed relative accuracy, the approximate solution of matrix games is in $NC$.