Random activations in primal-dual splittings for monotone inclusions with a priori information

DOI10.1007/S10957-021-01944-6zbMATH Open1490.65119arXiv2011.02652OpenAlexW3203933792MaRDI QIDQ2073045FDOQ2073045

Luis M. Briceño-Arias, Cristian Vega, Julio Deride

Publication date: 27 January 2022

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Abstract: In this paper, we propose a numerical approach for solving composite primal-dual monotone inclusions with a priori information. The underlying a priori information set is represented by the intersection of fixed point sets of a finite number of operators, and we propose and algorithm that activates the corresponding set by following a finite-valued random variable at each iteration. Our formulation is flexible and includes, for instance, deterministic and Bernoulli activations over cyclic schemes, and Kaczmarz-type random activations. The almost sure convergence of the algorithm is obtained by means of properties of stochastic Quasi-Fej'er sequences. We also recover several primal-dual algorithms for monotone inclusions in the context without a priori information and classical algorithms for solving convex feasibility problems and linear systems. In the context of convex optimization with inequality constraints, any selection of the constraints defines the a priori information set, in which case the operators involved are simply projections onto half spaces. By incorporating random projections onto a selection of the constraints to classical primal-dual schemes, we obtain faster algorithms as we illustrate by means of a numerical application to a stochastic arc capacity expansion problem in a transport network.

Full work available at URL: https://arxiv.org/abs/2011.02652

zbMATH Keywords

monotone operator theoryrandomized Kaczmarz algorithmarc capacity expansion in traffic networksprimal-dual splitting algorithms[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=stochastic+quasi-Fej%EF%BF%BD%EF%BF%BDr+sequences&go=Go stochastic quasi-Fej��r sequences]

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Numerical optimization and variational techniques (65K10) Monotone operators and generalizations (47H05) Numerical methods involving duality (49M29) Stochastic network models in operations research (90B15)

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Cited In (4)

• A primal-dual partial inverse algorithm for constrained monotone inclusions: applications to stochastic programming and mean field games
• Fast iterative regularization by reusing data
• Primal-dual splittings as fixed point iterations in the range of linear operators
• Randomized Douglas–Rachford Methods for Linear Systems: Improved Accuracy and Efficiency

Uses Software

• UNLocBoX

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