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2014

Convergence rate analysis of primal-dual splitting schemes

Davis, Damek

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Primal-dual splitting schemes are a class of powerful algorithms that solve complicated monotone inclusions and convex optimization problems that are built from many simpler pieces.

They decompose problems that are built from sums, linear compositions, and infimal convolutions of simple functions so that each simple term is processed individually via proximal mappings, gradient mappings, and multiplications by the linear maps.
This leads to easily implementable and highly parallelizable or distributed algorithms, which often obtain nearly state-of-the-art performance.
In this paper, we analyze a monotone inclusion problem that captures a large class of primal-dual splittings as a special case.

Convergence rate analysis of primal-dual splitting schemes · Around

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