Fast primal-dual algorithm via dynamical system for a linearly constrained convex optimization problem
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Publication:2097697
DOI10.1016/J.AUTOMATICA.2022.110547zbMATH Open1504.93281arXiv2103.10118OpenAlexW4287265721WikidataQ114204722 ScholiaQ114204722MaRDI QIDQ2097697FDOQ2097697
Publication date: 14 November 2022
Published in: Automatica (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/2103.10118
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convergence rateprimal-dual algorithmNesterov's accelerationinertial primal-dual dynamical systemlinearly constrained convex optimization problem
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Cited In (10)
- Accelerated primal-dual methods with adaptive parameters for composite convex optimization with linear constraints
- Fast augmented Lagrangian method in the convex regime with convergence guarantees for the iterates
- 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
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- 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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