On the ergodic convergence rates of a first-order primal–dual algorithm
Copyright policy )On the ergodic convergence rates of a first-order primal–dual algorithm
This paper displays refined ergodic convergence rates for a first-order primal-dual algorithm applied to composite convex-concave saddle-point problems. These new convergence rates are expressed in terms of the primal-dual gap function for accelerated variants of the algorithm. Several computational examples illustrate the performances of the proposed algorithms.
- French National Centre for Scientific Research France
- Austrian Institute of Technology Austria
- École Polytechnique France
- Graz University of Technology Austria
Numerical optimization and variational techniques, Convex programming, first order algorithms, saddle-point preoblems, Numerical methods involving duality, primal-dual algorithms, 510, 004, Complexity and performance of numerical algorithms, MSC Classification: 49M29 65K10 65Y20 90C25, Bregman distances, convergence rates, ergodic convergence, [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC], Saddle-point problems, [MATH.MATH-NA]Mathematics [math]/Numerical Analysis [math.NA]
Numerical optimization and variational techniques, Convex programming, first order algorithms, saddle-point preoblems, Numerical methods involving duality, primal-dual algorithms, 510, 004, Complexity and performance of numerical algorithms, MSC Classification: 49M29 65K10 65Y20 90C25, Bregman distances, convergence rates, ergodic convergence, [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC], Saddle-point problems, [MATH.MATH-NA]Mathematics [math]/Numerical Analysis [math.NA]
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