English

Worst-case analysis of restarted primal-dual hybrid gradient on totally unimodular linear programs

Optimization and Control 2024-12-31 v3

Abstract

We analyze restarted PDHG on totally unimodular linear programs. In particular, we show that restarted PDHG finds an ϵ\epsilon-optimal solution in O(Hm12.5nnz(A)log(Hm2/ϵ))O( H m_1^{2.5} \sqrt{\textbf{nnz}(A)} \log(H m_2 /\epsilon) ) matrix-vector multiplies where m1m_1 is the number of constraints, m2m_2 the number of variables, nnz(A)\textbf{nnz}(A) is the number of nonzeros in the constraint matrix, HH is the largest absolute coefficient in the right hand side or objective vector, and ϵ\epsilon is the distance to optimality of the outputted solution.

Keywords

Cite

@article{arxiv.2309.03988,
  title  = {Worst-case analysis of restarted primal-dual hybrid gradient on totally unimodular linear programs},
  author = {Oliver Hinder},
  journal= {arXiv preprint arXiv:2309.03988},
  year   = {2024}
}

Comments

10 pages. Fixed a typo in Table 1 caption