作者
Yura Malitsky, Thomas Pock
发表日期
2018
期刊
SIAM Journal on Optimization
卷号
28
期号
1
页码范围
411-432
出版商
Society for Industrial and Applied Mathematics
简介
The paper proposes a linesearch for a primal-dual method. Each iteration of the linesearch requires an update of only the dual (or primal) variable. For many problems, in particular for regularized least squares, the linesearch does not require any additional matrix-vector multiplications. We prove convergence of the proposed method under standard assumptions. We also show an ergodic rate of convergence for our method. In the case when one or both of the prox-functions are strongly convex, we modify our basic method to get a better convergence rate. Finally, we propose a linesearch for a saddle-point problem with an additional smooth term. Several numerical experiments confirm the efficiency of our proposed methods.
学术搜索中的文章
Y Malitsky, T Pock - SIAM Journal on Optimization, 2018