Stochastic Primal Dual Hybrid Gradient Algorithm with Adaptive Step-Sizes

Authors Antonin Chambolle, Claire Delplancke, Matthias J. Ehrhardt, Carola-Bibiane Schönlieb, J. Tang

Publication date 6 January 2023

Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10) Variational inequalities (49J40) Numerical aspects of computer graphics, image analysis, and computational geometry (65D18) Numerical optimization and variational techniques (65K10) Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15) Convex programming (90C25) Biomedical imaging and signal processing (92C55) Image processing (compression, reconstruction, etc.) in information and communication theory (94A08)

Abstract: In this work we propose a new primal-dual algorithm with adaptive step-sizes. The stochastic primal-dual hybrid gradient (SPDHG) algorithm with constant step-sizes has become widely applied in large-scale convex optimization across many scientific fields due to its scalability. While the product of the primal and dual step-sizes is subject to an upper-bound in order to ensure convergence, the selection of the ratio of the step-sizes is critical in applications. Up-to-now there is no systematic and successful way of selecting the primal and dual step-sizes for SPDHG. In this work, we propose a general class of adaptive SPDHG (A-SPDHG) algorithms, and prove their convergence under weak assumptions. We also propose concrete parameters-updating strategies which satisfy the assumptions of our theory and thereby lead to convergent algorithms. Numerical examples on computed tomography demonstrate the effectiveness of the proposed schemes.

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