Interior-proximal primal-dual methods

MaRDI QIDQ5074778zbMATH OpenFDO

Authors Tuomo Valkonen

Publication date 10 May 2022

Full work available at URL https://arxiv.org/abs/1706.07067, http://yokohamapublishers.jp/online2/opaao/vol3/p1.html

zbMATH Keywords

interior pointprimal-dualproximal point

Mathematics Subject Classification ID

Convex programming (90C25) Interior-point methods (90C51)

Abstract: We study preconditioned proximal point methods for a class of saddle point problems, where the preconditioner decouples the overall proximal point method into an alternating primal--dual method. This is akin to the Chambolle--Pock method or the ADMM. In our work, we replace the squared distance in the dual step by a barrier function on a symmetric cone, while using a standard (Euclidean) proximal step for the primal variable. We show that under non-degeneracy and simple linear constraints, such a hybrid primal--dual algorithm can achieve linear convergence on originally strongly convex problems involving the second-order cone in their saddle point form. On general symmetric cones, we are only able to show an $O(1/N)$ rate. These results are based on estimates of strong convexity of the barrier function, extended with a penalty to the boundary of the symmetric cone.

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Cited in

(8)

• Long-step strategies in interior-point primal-dual methods
• scientific article; zbMATH DE number 1801375 (Why is no real title available?)
• Interior dual proximal point algorithm using preconditioned conjugate gradient †
• Preconditioned proximal point methods and notions of partial subregularity
• Transformed primal-dual methods for nonlinear saddle point systems
• An interior proximal gradient method for nonconvex optimization
• Proximal-stabilized semidefinite programming
• Strong global convergence properties of algorithms for nonlinear symmetric cone programming

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