Abstract:The primal-dual hybrid gradient (PDHG) algorithm is popular in solving min-max problems which are being widely used in a variety of areas. To improve the applicability and efficiency of PDHG for different application scenarios, we focus on the preconditioned PDHG (PrePDHG) algorithm, which is a framework covering PDHG, alternating direction method of multipliers (ADMM), and other methods. We give the optimal convergence condition of PrePDHG in the sense that the key parameters in the condition can not be furth… Show more
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