Fast convergence of the primal-dual dynamical system and corresponding algorithms for a nonsmooth bilinearly coupled saddle point problem

Abstract

This paper studies the convergence rate of a second-order dynamical system associated with a nonsmooth bilinearly coupled convex-concave saddle point problem, as well as the convergence rate of its corresponding discretizations. We derive the convergence rate of the primal-dual gap for the second-order dynamical system with asymptotically vanishing damping term. Based on an implicit discretization scheme, we propose a primal-dual algorithm and provide a non-ergodic convergence rate under a general setting for the inertial parameters when one objective function is continuously differentiable and convex and the other is a proper, convex and lower semicontinuous function. For this algorithm we derive a 0 (1/k2) convergence rate under three classical rules proposed by Nesterov, Chambolle-Dossal and Attouch-Cabot without assuming strong convexity, which is compatible with the results of the continuous-time dynamic system. For the case when both objective functions are continuously differentiable and convex, we further present a primal-dual algorithm based on an explicit discretization. We provide a corresponding non-ergodic convergence rate for this algorithm and show that the sequence of iterates generated weakly converges to a primal-dual optimal solution. Finally, we present numerical experiments that indicate the superior numerical performance of both algorithms.

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Identifiers

ORCID for Jörg Fliege: orcid.org/0000-0002-4459-5419

ORCID for Phan Tu Vuong: orcid.org/0000-0002-1474-994X

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