A universal accelerated primal-dual method for convex optimization problems
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Abstract: This work presents a universal accelerated first-order primal-dual method for affinely constrained convex optimization problems. It can handle both Lipschitz and H"{o}lder gradients but does not need to know the smoothness level of the objective function. In line search part, it uses dynamically decreasing parameters and produces approximate Lipschitz constant with moderate magnitude. In addition, based on a suitable discrete Lyapunov function and tight decay estimates of some differential/difference inequalities, a universal optimal mixed-type convergence rate is established. Some numerical tests are provided to confirm the efficiency of the proposed method.
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(5)- On optimal universal first-order methods for minimizing heterogeneous sums
- Inertial accelerated augmented Lagrangian algorithms with scaling coefficients to solve exactly and inexactly linearly constrained convex optimization problems
- Accelerated primal-dual methods for strongly convex objective functions in continuous and discrete time
- A unified differential equation solver approach for separable convex optimization: splitting, acceleration and nonergodic rate
- On the modulus of Lipschitz smoothness of log-sum-exp function
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