2018
DOI: 10.1137/17m1134834
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Stochastic Primal-Dual Hybrid Gradient Algorithm with Arbitrary Sampling and Imaging Applications

Abstract: We propose a stochastic extension of the primal-dual hybrid gradient algorithm studied by Chambolle and Pock in 2011 to solve saddle point problems that are separable in the dual variable. The analysis is carried out for general convex-concave saddle point problems and problems that are either partially smooth / strongly convex or fully smooth / strongly convex. We perform the analysis for arbitrary samplings of dual variables, and obtain known deterministic results as a special case. Several variants of our s… Show more

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Cited by 144 publications
(230 citation statements)
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“…A stochastic primal-dual hybrid gradient algorithm (SPDHG) [14] was proposed to optimize the following problem:…”
Section: Stochastic Primal-dual Hybrid Gradient Algorithmmentioning
confidence: 99%
See 4 more Smart Citations
“…A stochastic primal-dual hybrid gradient algorithm (SPDHG) [14] was proposed to optimize the following problem:…”
Section: Stochastic Primal-dual Hybrid Gradient Algorithmmentioning
confidence: 99%
“…This means that each iteration requires both A i and A * i to be evaluated only for each selected index i ∈ S (k+1) . With a mild condition on the stepsizes τ and ρ i , the algorithm converges to an optimal solution of (2) almost surely in the sense of the Bregman distance (see [14,Theorem 4.3] for details).…”
Section: Stochastic Primal-dual Hybrid Gradient Algorithmmentioning
confidence: 99%
See 3 more Smart Citations