On the Geometry and Refined Rate of Primal-Dual Hybrid Gradient for Linear Programming

arXiv2307.03664MaRDI QIDQ6442987FDOQ6442987

Publication date: 7 July 2023

Abstract: We study the convergence behaviors of primal-dual hybrid gradient (PDHG) for solving linear programming (LP). PDHG is the base algorithm of a new general-purpose first-order method LP solver, PDLP, which aims to scale up LP by taking advantage of modern computing architectures. Despite its numerical success, the theoretical understanding of PDHG for LP is still very limited; the previous complexity result relies on the global Hoffman constant of the KKT system, which is known to be very loose and uninformative. In this work, we aim to develop a fundamental understanding of the convergence behaviors of PDHG for LP and to develop a refined complexity rate that does not rely on the global Hoffman constant. We show that there are two major stages of PDHG for LP: in Stage I, PDHG identifies active variables and the length of the first stage is driven by a certain quantity which measures how close the non-degeneracy part of the LP instance is to degeneracy; in Stage II, PDHG effectively solves a homogeneous linear inequality system, and the complexity of the second stage is driven by a well-behaved local sharpness constant of the system. This finding is closely related to the concept of partial smoothness in non-smooth optimization, and it is the first complexity result of finite time identification without the non-degeneracy assumption. An interesting implication of our results is that degeneracy itself does not slow down the convergence of PDHG for LP, but near-degeneracy does.

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