A universal accelerated primal-dual method for convex optimization problems
Optimization and Control
2022-11-09 v1
Abstract
This work presents a universal accelerated first-order primal-dual method for affinely constrained convex optimization problems. It can handle both Lipschitz and H\"{o}lder gradients but does not need to know the smoothness level of the objective function. In line search part, it uses dynamically decreasing parameters and produces approximate Lipschitz constant with moderate magnitude. In addition, based on a suitable discrete Lyapunov function and tight decay estimates of some differential/difference inequalities, a universal optimal mixed-type convergence rate is established. Some numerical tests are provided to confirm the efficiency of the proposed method.
Cite
@article{arxiv.2211.04245,
title = {A universal accelerated primal-dual method for convex optimization problems},
author = {Hao Luo},
journal= {arXiv preprint arXiv:2211.04245},
year = {2022}
}