The primal-dual hybrid gradient method reduces to a primal method for linearly constrained optimization problems

arXiv1706.02602MaRDI QIDQ6287650FDOQ6287650

Publication date: 8 June 2017

Abstract: In this work, we show that for linearly constrained optimization problems the primal-dual hybrid gradient algorithm, analyzed by Chambolle and Pock [3], can be written as an entirely primal algorithm. This allows us to prove convergence of the iterates even in the degenerate cases when the linear system is inconsistent or when the strong duality does not hold. We also obtain new convergence rates which seem to improve existing ones in the literature. For a decentralized distributed optimization we show that the new scheme is much more efficient than the original one.

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Convex programming (90C25) Complexity and performance of numerical algorithms (65Y20) Numerical methods involving duality (49M29)

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