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A first-order primal-dual method with adaptivity to local smoothness
Ecole Polytech Fed Lausanne, Switzerland.
Linköping University.
Ecole Polytech Fed Lausanne, Switzerland.
2021 (English)In: ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 34 (NEURIPS 2021), NEURAL INFORMATION PROCESSING SYSTEMS (NIPS) , 2021, Vol. 34Conference paper, Published paper (Refereed)
Abstract [en]

We consider the problem of finding a saddle point for the convex-concave objective min(x) max(y) f(x) + < Ax, y > - g*(y), where f is a convex function with locally Lipschitz gradient and g is convex and possibly non-smooth. We propose an adaptive version of the Condat-V (u) over tilde algorithm, which alternates between primal gradient steps and dual proximal steps. The method achieves stepsize adaptivity through a simple rule involving ||A|| and the norm of recently computed gradients of f. Under standard assumptions, we prove an O(k(-1)) ergodic convergence rate. Furthermore, when f is also locally strongly convex and A has full row rank we show that our method converges with a linear rate. Numerical experiments are provided for illustrating the practical performance of the algorithm.

Place, publisher, year, edition, pages
NEURAL INFORMATION PROCESSING SYSTEMS (NIPS) , 2021. Vol. 34
Series
Advances in Neural Information Processing Systems, ISSN 1049-5258
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:liu:diva-209605ISI: 000901616401020OAI: oai:DiVA.org:liu-209605DiVA, id: diva2:1914091
Conference
35th Conference on Neural Information Processing Systems (NeurIPS), ELECTR NETWORK, dec 06-14, 2021
Note

Funding Agencies|European Research Council (ERC) under the European Union [725594]; Wallenberg Al, Autonomous Systems and Software Program (WASP) - Knut and Alice Wallenberg Foundation [305286]; Department of the Navy, Office of Naval Research (ONR) [N62909-17-1-2111]; Army Research Office [W911NF-19-1-0404]; Hasler Foundation Program: Cyber Human Systems [16066]; Swiss National Science Foundation (SNSF) [200021_178865/1]

Available from: 2024-11-18 Created: 2024-11-18 Last updated: 2024-11-18

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf