Random activations in primal-dual splittings for monotone inclusions with a priori information
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Publication:2073045
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.
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Cited in
(5)- A projected primal-dual method for solving constrained monotone inclusions
- A primal-dual partial inverse algorithm for constrained monotone inclusions: applications to stochastic programming and mean field games
- Fast iterative regularization by reusing data
- Randomized Douglas–Rachford Methods for Linear Systems: Improved Accuracy and Efficiency
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