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A primal-dual flow for affine constrained convex optimization

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 نشر من قبل Hao Luo
 تاريخ النشر 2021
  مجال البحث
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 تأليف Hao Luo




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We introduce a novel primal-dual flow for affine constrained convex optimization problem. As a modification of the standard saddle-point system, our primal-dual flow is proved to possesses the exponential decay property, in terms of a tailored Lyapunov function. Then a class of primal-dual methods for the original optimization problem are obtained from numerical discretizations of the continuous flow, and with a unified discrete Lyapunov function, nonergodic convergence rates are established. Among those algorithms, we can recover the (linearized) augmented Lagrangian method and the quadratic penalty method with continuation technique. Also, new methods with a special inner problem, that is a linear symmetric positive definite system or a nonlinear equation which may be solved efficiently via the semi-smooth Newton method, have been proposed as well. Especially, numerical tests on the linearly constrained $l_1$-$l_2$ minimization show that our method outperforms the accelerated linearized Bregman method.



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