Fast primal-dual algorithm via dynamical system for a linearly constrained convex optimization problem
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Abstract: By time discretization of a second-order primal-dual dynamical system with damping where an inertial construction in the sense of Nesterov is needed only for the primal variable, we propose a fast primal-dual algorithm for a linear equality constrained convex optimization problem. Under a suitable scaling condition, we show that the proposed algorithm enjoys a fast convergence rate for the objective residual and the feasibility violation, and the decay rate can reach at the most. We also study convergence properties of the corresponding primal-dual dynamical system to better understand the acceleration scheme. Finally, we report numerical experiments to demonstrate the effectiveness of the proposed algorithm.
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Cited in
(20)- Convergence rates of inertial primal-dual dynamical methods for separable convex optimization problems
- Semi-global exponential stability of augmented primal-dual gradient dynamics for constrained convex optimization
- Fast convergence of dynamical ADMM via time scaling of damped inertial dynamics
- Inertial accelerated primal-dual methods for linear equality constrained convex optimization problems
- Improved convergence rates and trajectory convergence for primal-dual dynamical systems with vanishing damping
- Accelerated primal-dual methods with adaptive parameters for composite convex optimization with linear constraints
- A primal-dual flow for affine constrained convex optimization
- Fast augmented Lagrangian method in the convex regime with convergence guarantees for the iterates
- A primal-dual dynamical approach to structured convex minimization problems
- Time rescaling of a primal-dual dynamical system with asymptotically vanishing damping
- A second order primal-dual dynamical system for a convex-concave bilinear saddle point problem
- A dynamical approach to two-block separable convex optimization problems with linear constraints
- Fast primal-dual gradient method for strongly convex minimization problems with linear constraints
- Non-ergodic convergence rate of an inertial accelerated primal-dual algorithm for saddle point problems
- Asymptotic convergence of constrained primal-dual dynamics
- Fast convergence rates and trajectory convergence of a Tikhonov regularized inertial primal-dual dynamical system with time scaling and vanishing damping
- Inertial accelerated augmented Lagrangian algorithms with scaling coefficients to solve exactly and inexactly linearly constrained convex optimization problems
- Fast convergence of the primal-dual dynamical system and corresponding algorithms for a nonsmooth bilinearly coupled saddle point problem
- Distributed continuous-time accelerated neurodynamic approaches for sparse recovery via smooth approximation to \(L_1\)-minimization
- Inertial primal-dual dynamics with damping and scaling for linearly constrained convex optimization problems
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