Random activations in primal-dual splittings for monotone inclusions with a priori information
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Publication:2073045
DOI10.1007/S10957-021-01944-6zbMATH Open1490.65119arXiv2011.02652OpenAlexW3203933792MaRDI QIDQ2073045FDOQ2073045
Authors: Julio Deride, Cristian Vega, Luis M. Briceño-Arias 
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
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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 (5)
- A primal-dual partial inverse algorithm for constrained monotone inclusions: applications to stochastic programming and mean field games
- Fast iterative regularization by reusing data
- A projected primal-dual method for solving constrained monotone inclusions
- Primal-dual splittings as fixed point iterations in the range of linear operators
- Randomized Douglas–Rachford Methods for Linear Systems: Improved Accuracy and Efficiency
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