Random block-coordinate methods for inconsistent convex optimisation problems

DOI10.1186/S13663-023-00751-0MaRDI QIDQ6129537zbMATH OpenOpenAlexFDO

Authors Mathias Staudigl, Paulin Jacquot

Publication date 17 April 2024

Published in Fixed Point Theory and Algorithms for Sciences and Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2212.12045

zbMATH Keywords

AC-OPFconvex optimisationdistributed optimisationNesterov accelerationrandom block-coordinate method

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Large-scale problems in mathematical programming (90C06) Convex programming (90C25)

Abstract: We develop a novel randomised block coordinate descent primal-dual algorithm for a class of non-smooth ill-posed convex programs. Lying in the midway between the celebrated Chambolle-Pock primal-dual algorithm and Tseng's accelerated proximal gradient method, we establish global convergence of the last iterate as well optimal $O(1/k)$ and $O(1/k^2)$ complexity rates in the convex and strongly convex case, respectively, $k$ being the iteration count. Motivated by distributed and data-driven control of power systems, we test the performance of our method on a second-order cone relaxation of an AC-OPF problem. Distributed control is achieved via the distributed locational marginal prices (DLMPs), which are obtained dual variables in our optimisation framework.

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