Fast convergence of dynamical ADMM via time scaling of damped inertial dynamics
From MaRDI portal
Publication:2139279
ADMMaugmented Lagrangianconvergence ratesconvex constrained minimizationdamped inertial dynamicsLyapunov analysisNesterov accelerated gradient methodtemporal scaling
Approximation methods and numerical treatment of dynamical systems (37M99) Dynamical systems in optimization and economics (37N40) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Numerical mathematical programming methods (65K05) Numerical optimization and variational techniques (65K10) Management decision making, including multiple objectives (90B50) Convex programming (90C25)
Abstract: In this paper, we propose in a Hilbertian setting a second-order time-continuous dynamic system with fast convergence guarantees to solve structured convex minimization problems with an affine constraint. The system is associated with the augmented Lagrangian formulation of the minimization problem. The corresponding dynamics brings into play three general time-varying parameters, each with specific properties, and which are respectively associated with viscous damping, extrapolation and temporal scaling. By appropriately adjusting these parameters, we develop a Lyapunov analysis which provides fast convergence properties of the values and of the feasibility gap. These results will naturally pave the way for developing corresponding accelerated ADMM algorithms, obtained by temporal discretization.
Recommendations
- Fast convex optimization via time scaling of damped inertial gradient dynamics
- Fast primal-dual algorithm via dynamical system for a linearly constrained convex optimization problem
- Time rescaling of a primal-dual dynamical system with asymptotically vanishing damping
- Fast convex optimization via inertial dynamics combining viscous and Hessian-driven damping with time rescaling
- Convergence rates of inertial primal-dual dynamical methods for separable convex optimization problems
Cites work
- A differential equation for modeling Nesterov's accelerated gradient method: theory and insights
- A dynamical approach to an inertial forward-backward algorithm for convex minimization
- A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
- A second-order gradient-like dissipative dynamical system with Hessian-driven damping. Application to optimization and mechanics.
- Accelerated Bregman method for linearly constrained \(\ell _1-\ell _2\) minimization
- An inertial alternating direction method of multipliers
- An inertial Tseng's type proximal algorithm for nonsmooth and nonconvex optimization problems
- Asymptotic for a second-order evolution equation with convex potential and vanishing damping term
- Asymptotic stabilization of inertial gradient dynamics with time-dependent viscosity
- Augmented Lagrangian and proximal alternating direction methods of multipliers in Hilbert spaces. Applications to games, PDE's and control
- Augmented Lagrangians and Applications of the Proximal Point Algorithm in Convex Programming
- Convergence of inertial dynamics and proximal algorithms governed by maximally monotone operators
- Convergence rate analysis of several splitting schemes
- Convergence rate of inertial forward-backward algorithm beyond Nesterov's rule
- Convergence rates of inertial forward-backward algorithms
- Convergence rates of inertial primal-dual dynamical methods for separable convex optimization problems
- Convex analysis and monotone operator theory in Hilbert spaces
- Coupling Forward-Backward with Penalty Schemes and Parallel Splitting for Constrained Variational Inequalities
- Fast alternating direction optimization methods
- Fast convergence of inertial dynamics and algorithms with asymptotic vanishing viscosity
- Fast convex optimization via a third-order in time evolution equation
- Fast convex optimization via inertial dynamics combining viscous and Hessian-driven damping with time rescaling
- Fast convex optimization via inertial dynamics with Hessian driven damping
- Fast convex optimization via time scaling of damped inertial gradient dynamics
- Fast Proximal Methods via Time Scaling of Damped Inertial Dynamics
- Faster convergence rates of relaxed Peaceman-Rachford and ADMM under regularity assumptions
- First-order optimization algorithms via inertial systems with Hessian driven damping
- Gradient methods for minimizing composite functions
- scientific article; zbMATH DE number 3850830 (Why is no real title available?)
- scientific article; zbMATH DE number 4164577 (Why is no real title available?)
- scientific article; zbMATH DE number 48893 (Why is no real title available?)
- scientific article; zbMATH DE number 7363383 (Why is no real title available?)
- scientific article; zbMATH DE number 3893867 (Why is no real title available?)
- scientific article; zbMATH DE number 3376275 (Why is no real title available?)
- scientific article; zbMATH DE number 3398324 (Why is no real title available?)
- Inertial Douglas-Rachford splitting for monotone inclusion problems
- Inexact accelerated augmented Lagrangian methods
- Monotone Operators and the Proximal Point Algorithm
- On the convergence of the iterates of the ``fast iterative shrinkage/thresholding algorithm
- On the Minimizing Property of a Second Order Dissipative System in Hilbert Spaces
- Rate of convergence of inertial gradient dynamics with time-dependent viscous damping coefficient
- Rate of convergence of the Nesterov accelerated gradient method in the subcritical case α ≤ 3
- Second-order dynamical systems with penalty terms associated to monotone inclusions
- Some methods of speeding up the convergence of iteration methods
- Stability of over-relaxations for the forward-backward algorithm, application to FISTA
- Stabilizability and Stability Robustness of State Derivative Feedback Controllers
- THE HEAVY BALL WITH FRICTION METHOD, I. THE CONTINUOUS DYNAMICAL SYSTEM: GLOBAL EXPLORATION OF THE LOCAL MINIMA OF A REAL-VALUED FUNCTION BY ASYMPTOTIC ANALYSIS OF A DISSIPATIVE DYNAMICAL SYSTEM
- The rate of convergence of Nesterov's accelerated forward-backward method is actually faster than 1/k^2
Cited in
(32)- Fast primal-dual algorithm via dynamical system for a linearly constrained convex optimization problem
- Fast convex optimization via inertial dynamics combining viscous and Hessian-driven damping with time rescaling
- Optimal convergence rates for damped inertial gradient dynamics with flat geometries
- Convergence rates of inertial primal-dual dynamical methods for separable convex optimization problems
- A dynamical approach to two-block separable convex optimization problems with linear constraints
- Fast augmented Lagrangian method in the convex regime with convergence guarantees for the iterates
- Inertial primal-dual dynamics with damping and scaling for linearly constrained convex optimization problems
- On Proximal Algorithms with Inertial Effects Beyond Monotonicity
- Convergence of inertial dynamics driven by sums of potential and nonpotential operators with implicit Newton-like damping
- 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
- On the Arrow–Hurwicz differential system for linearly constrained convex minimization
- Fast convergence rates and trajectory convergence of a Tikhonov regularized inertial primal-dual dynamical system with time scaling and vanishing damping
- Fast convergence of the primal-dual dynamical system and corresponding algorithms for a nonsmooth bilinearly coupled saddle point problem
- Preconditioned primal-dual dynamics in convex optimization: non-ergodic convergence rates
- Stochastic monotone inclusion with closed loop distributions
- Tikhonov regularized second-order plus first-order primal-dual dynamical systems with asymptotically vanishing damping for linear equality constrained convex optimization problems
- Accelerated first-order optimization under nonlinear constraints
- Stochastic dual dynamical systems for linear equality constrained convex optimization problems
- Accelerated primal-dual methods for strongly convex objective functions in continuous and discrete time
- Exponential convergence rates of a second-order dynamic system and algorithm for a linear equality constrained optimization problem
- Tikhonov regularization of second-order plus first-order primal-dual dynamical systems for separable convex optimization
- A unified differential equation solver approach for separable convex optimization: splitting, acceleration and nonergodic rate
- A general mixed-order primal-dual dynamical system with Tikhonov regularization
- A fast primal-dual algorithm via dynamical system with variable mass for linearly constrained convex optimization
- Accelerated forward-backward and Douglas-Rachford splitting dynamics
- Convergence rates of mixed primal-dual dynamical systems with Hessian driven damping
- Fast optimistic gradient descent ascent (OGDA) method in continuous and discrete time
- Inertial alternating direction method of multipliers with logarithmic-quadratic proximal regularization
- Fast convergence of primal-dual dynamical systems with implicit Hessian damping and Tikhonov regularization
- Fast second-order dynamics with slow vanishing damping approaching the zeros of a monotone and continuous operator
- Primal-dual dynamics featuring Hessian-driven damping and variable mass for convex optimization problems
This page was built for publication: Fast convergence of dynamical ADMM via time scaling of damped inertial dynamics
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2139279)
