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We prove complexity bounds for the primal-dual algorithm with random extrapolation and coordinate descent (PURE-CD), which has been shown to obtain good practical performance for solving convex-concave min-max problems with bilinear coupling.
Convex Analysis
R Tyrrell Rockafellar · 1970
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Yurii Nesterov · 2007
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Robust stochastic approximation approach to stochastic programming
Arkadi Nemirovski, Anatoli Juditsky, Guanghui Lan, and Alexander Shapiro · 2009
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Primal-dual subgradient methods for convex problems
Yurii Nesterov · 2009
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Convex Analysis and Monotone Operator Theory in Hilbert Spaces
Heinz H Bauschke and Patrick L Combettes · 2011
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A first-order primal-dual algorithm for convex problems with applications to imaging
Antonin Chambolle and Thomas Pock · 2011
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Efficiency of coordinate descent methods on huge-scale optimization problems
Yurii Nesterov · 2012
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Stochastic dual coordinate ascent methods for regularized loss minimization
Shai Shalev-Shwartz and Tong Zhang · 2013
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Accelerated proximal stochastic dual coordinate ascent for regularized loss minimization
Shai Shalev-Shwartz and Tong Zhang · 2014
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A proximal stochastic gradient method with progressive variance reduction
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Stephen J Wright · 2015
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Stochastic primal-dual coordinate method for regularized empirical risk minimization
Yuchen Zhang and Xiao Lin · 2015
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Antonin Chambolle and Thomas Pock · 2016
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A coordinate-descent primal-dual algorithm with large step size and possibly nonseparable functions
Olivier Fercoq and Pascal Bianchi · 2019
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Random extrapolation for primal-dual coordinate descent
Ahmet Alacaoglu, Olivier Fercoq, and Volkan Cevher · 2020
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Coordinate methods for matrix games
Yair Carmon, Yujia Jin, Aaron Sidford, and Kevin Tian · 2020
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First-order and Stochastic Optimization Methods for Machine Learning
Guanghui Lan · 2020
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Accelerated dual-averaging primal–dual method for composite convex minimization
Conghui Tan, Yuqiu Qian, Shiqian Ma, and Tong Zhang · 2020
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Stochastic variance reduction for variational inequality methods
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A smooth primal-dual optimization framework for nonsmooth composite convex minimization
Quoc Tran-Dinh, Olivier Fercoq, and Volkan Cevher · 2018
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On the convergence of stochastic primal-dual hybrid gradient
Ahmet Alacaoglu, Olivier Fercoq, and Volkan Cevher · 2019
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Variance reduction for matrix games
Yair Carmon, Yujia Jin, Aaron Sidford, and Kevin Tian · 2019
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Coordinate linear variance reduction for generalized linear programming
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