Abstract:The primal-dual hybrid gradient (PDHG) algorithm is a first-order method that splits convex optimization problems with saddle-point structure into smaller subproblems. Those subproblems, unlike those obtained from most other splitting methods, can generally be solved efficiently because they involve simple operations such as matrix-vector multiplications or proximal mappings that are easy to evaluate. In order to work fast, however, the PDHG algorithm requires stepsize parameters fine-tuned for the problem at … Show more
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