Related papers: Primal-dual algorithm for weakly convex functions …
It has been shown that many first-order methods satisfy the perturbed Fenchel duality inequality, which yields a unified derivation of convergence. More first-order methods are discussed in this paper, e.g., dual averaging and bundle…
We consider the problem of minimizing a convex, separable, nonsmooth function subject to linear constraints. The numerical method we propose is a block-coordinate extension of the Chambolle-Pock primal-dual algorithm. We prove convergence…
Recently, Yamanaka and Yamashita proposed the so-called positively homogeneous optimization problem, which includes many important problems, such as the absolute-value and the gauge optimizations. They presented a closed form of the dual…
In the paper, we develop a composite version of Mirror Prox algorithm for solving convex-concave saddle point problems and monotone variational inequalities of special structure, allowing to cover saddle point/variational analogies of what…
In this paper, we propose two novel non-stationary first-order primal-dual algorithms to solve nonsmooth composite convex optimization problems. Unlike existing primal-dual schemes where the parameters are often fixed, our methods use…
We consider smooth convex minimization over compact convex sets, i.e., $\min_{x \in C} f(x)$ with the (vanilla) Frank-Wolfe algorithm. Well-known lower bounds establish a worst-case $\Omega(1/t)$ primal-gap barrier in the general smooth…
Primal-Dual Interior-Point methods are capable of solving constrained convex optimization problems to tight tolerances in a fast and robust manner. The derivatives of the primal-dual solution with respect to the problem matrices can be…
We consider strongly-convex-strongly-concave saddle-point problems with general non-bilinear objective and different condition numbers with respect to the primal and the dual variables. First, we consider such problems with smooth composite…
We study the linear convergence of the primal-dual hybrid gradient method. After a review of current analyses, we show that they do not explain properly the behavior of the algorithm, even on the most simple problems. We thus introduce the…
We propose a new primal-dual algorithmic framework for a prototypical constrained convex optimization template. The algorithmic instances of our framework are universal since they can automatically adapt to the unknown Holder continuity…
We study the convex-concave bilinear saddle-point problem $\min_x \max_y f(x) + y^\top Ax - g(y)$, where both, only one, or none of the functions $f$ and $g$ are strongly convex, and suitable rank conditions on the matrix $A$ hold. The…
We propose and analyze a general framework called nonlinear preconditioned primal-dual with projection for solving nonconvex-nonconcave and non-smooth saddle-point problems. The framework consists of two steps. The first is a nonlinear…
The Chambolle-Pock method, also known as the primal-dual hybrid gradient method, is a standard first-order algorithm for convex-concave saddle-point problems and composite convex optimization involving two proper, lower semicontinuous,…
This paper introduces a novel double regularization scheme for bilevel optimization problems whose lower-level problem is composite and convex, but not necessarily strongly convex, in the lower-level variable. The analysis focuses on the…
We propose a new modified primal-dual proximal best approximation method for solving convex not necessarily differentiable optimization problems. The novelty of the method relies on introducing memory by taking into account iterates…
Several optimization schemes have been known for convex optimization problems. However, numerical algorithms for solving nonconvex optimization problems are still underdeveloped. A progress to go beyond convexity was made by considering the…
This article develops a duality principle for a class of optimization problems in $\mathbb{R}^n$. The results are obtained based on standard tools of convex analysis and on a well known result of Toland for D.C. optimization. Global…
We revisit the smooth convex-concave bilinearly-coupled saddle-point problem of the form $\min_x\max_y f(x) + \langle y,\mathbf{B} x\rangle - g(y)$. In the highly specific case where each of the functions $f(x)$ and $g(y)$ is either affine…
In this paper we present two Fenchel-type dual problems for a DC (difference of convex functions) optimization primal one. They have been built by means of the c-conjugation scheme, a pattern of conjugation which has been shown to be…
We extend a primal-dual fixed point algorithm (PDFP) proposed in [5] to solve two kinds of separable multi-block minimization problems, arising in signal processing and imaging science. This work shows the flexibility of applying PDFP…