Quadratic error bound of the smoothed gap and the restarted averaged primal-dual hybrid gradient
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 quadratic error bound of the smoothed gap, a new regularity...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Université de Montpellier
2023-08-01
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| Series: | Open Journal of Mathematical Optimization |
| Subjects: | |
| Online Access: | https://ojmo.centre-mersenne.org/articles/10.5802/ojmo.26/ |
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| Summary: | 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 quadratic error bound of the smoothed gap, a new regularity assumption that holds for a wide class of optimization problems. Equipped with this tool, we manage to prove tighter convergence rates. Then, we show that averaging and restarting the primal-dual hybrid gradient allows us to leverage better the regularity constant. Numerical experiments on linear and quadratic programs, ridge regression and image denoising illustrate the findings of the paper. |
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| ISSN: | 2777-5860 |