New convergence analysis of a primal-dual algorithm with large stepsizes
نویسندگان
چکیده
We consider a primal-dual algorithm for minimizing $f(x)+h\square l(Ax)$ with Fr\'echet differentiable $f$ and $l^*$. This has two names in literature: Primal-Dual Fixed-Point based on the Proximity Operator (PDFP$^2$O) Proximal Alternating Predictor-Corrector (PAPC). In this paper, we prove its convergence under weaker condition stepsizes than existing ones. With additional assumptions, show linear convergence. addition, that (the upper bound of stepsize) is tight can not be weakened. result also recovers recently proposed positive-indefinite linearized augmented Lagrangian method. apply to decentralized consensus PG-EXTRA derive weakest condition.
منابع مشابه
A primal-dual algorithm with optimal stepsizes and its application in decentralized consensus optimization
We consider a primal-dual algorithm for minimizing f(x) + h(Ax) with differentiable f . The primal-dual algorithm has two names in literature: Primal-Dual Fixed-Point algorithm based on the Proximity Operator (PDFPO) and Proximal Alternating Predictor-Corrector (PAPC). In this paper, we extend it to solve f(x) + h l(Ax) with differentiable l and prove its convergence under a weak condition (i.e...
متن کاملA Primal-Dual Convergence Analysis of Boosting
Boosting combines weak learners into a predictor with low empirical risk. Its dual constructs a high entropy distribution upon which weak learners and training labels are uncorrelated. This manuscript studies this primal-dual relationship under a broad family of losses, including the exponential loss of AdaBoost and the logistic loss, revealing: • Weak learnability aids the whole loss family: f...
متن کاملA Primal/Dual Stump Algorithm for Large Numerical Datasets
We demonstrate a stochastic gradient algorithm that can handle the very large number of stump features generated by considering every possible threshold over numerical, or continuous, features. Our problem is to classify data with continuous features, where small variations in the feature value can result in a different classification decision. Consider for instance packet statistics used for n...
متن کاملThe Primal - dual Algorithm
As we have seen before, using strong duality, we know that the optimum value for the following two linear programming are equal, i.e. u = w, if they are both feasible. u = max{cx : Ax ≤ b, x ≥ 0} (P ) w = min{b y : A y ≥ c, y ≥ 0} (D) Using the above result, we can check the optimality of a primal and/or a dual solution. Theorem 1. Suppose x and y are feasible solutions to (P ) and (D). Then x ...
متن کاملConvergence Rate Analysis of Primal-Dual Splitting Schemes
Primal-dual splitting schemes are a class of powerful algorithms that solve complicated monotone inclusions and convex optimization problems that are built from many simpler pieces. They decompose problems that are built from sums, linear compositions, and infimal convolutions of simple functions so that each simple term is processed individually via proximal mappings, gradient mappings, and mu...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Advances in Computational Mathematics
سال: 2021
ISSN: ['1019-7168', '1572-9044']
DOI: https://doi.org/10.1007/s10444-020-09840-9