201. A primal-dual splitting method for convex optimization involving Lipschitzian, proximable and linear composite terms
- Author
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Laurent Condat, Equipe Image - Laboratoire GREYC - UMR6072, Groupe de Recherche en Informatique, Image et Instrumentation de Caen (GREYC), Centre National de la Recherche Scientifique (CNRS)-École Nationale Supérieure d'Ingénieurs de Caen (ENSICAEN), Normandie Université (NU)-Normandie Université (NU)-Université de Caen Normandie (UNICAEN), Normandie Université (NU)-Centre National de la Recherche Scientifique (CNRS)-École Nationale Supérieure d'Ingénieurs de Caen (ENSICAEN), Normandie Université (NU), GIPSA - Architecture, Géométrie, Perception, Images, Gestes (GIPSA-AGPIG), Département Images et Signal (GIPSA-DIS), Grenoble Images Parole Signal Automatique (GIPSA-lab), Université Pierre Mendès France - Grenoble 2 (UPMF)-Université Stendhal - Grenoble 3-Université Joseph Fourier - Grenoble 1 (UJF)-Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP )-Centre National de la Recherche Scientifique (CNRS)-Université Pierre Mendès France - Grenoble 2 (UPMF)-Université Stendhal - Grenoble 3-Université Joseph Fourier - Grenoble 1 (UJF)-Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP )-Centre National de la Recherche Scientifique (CNRS)-Grenoble Images Parole Signal Automatique (GIPSA-lab), and Université Pierre Mendès France - Grenoble 2 (UPMF)-Université Stendhal - Grenoble 3-Université Joseph Fourier - Grenoble 1 (UJF)-Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP )-Centre National de la Recherche Scientifique (CNRS)-Université Pierre Mendès France - Grenoble 2 (UPMF)-Université Stendhal - Grenoble 3-Université Joseph Fourier - Grenoble 1 (UJF)-Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP )-Centre National de la Recherche Scientifique (CNRS)
- Subjects
Mathematical optimization ,Primal dual algorithm ,Control and Optimization ,Linear operators ,Composite number ,Mathematics::Optimization and Control ,Monotonic function ,010103 numerical & computational mathematics ,02 engineering and technology ,proximal method ,Management Science and Operations Research ,01 natural sciences ,Operator splitting ,0202 electrical engineering, electronic engineering, information engineering ,primal-dual algorithm ,0101 mathematics ,Convex and nonsmooth optimization ,forward-backward method ,Mathematics ,Applied Mathematics ,Primal dual ,monotone inclusion ,Fenchel-Rockafellar duality ,Douglas-Rachford method ,Convex optimization ,Theory of computation ,020201 artificial intelligence & image processing ,47H05 ,49M29 ,49M27 ,90C25 ,[MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC] ,[SPI.SIGNAL]Engineering Sciences [physics]/Signal and Image processing ,operator splitting - Abstract
International audience; We propose a new first-order splitting algorithm for solving jointly the primal and dual formulations of large-scale convex minimization problems involving the sum of a smooth function with Lipschitzian gradient, a nonsmooth proximable function, and linear composite functions. This is a full splitting approach, in the sense that the gradient and the linear operators involved are applied explicitly without any inversion, while the nonsmooth functions are processed individually via their proximity operators. This work brings together and notably extends several classical splitting schemes, like the forward-backward and Douglas-Rachford methods, as well as the recent primal-dual method of Chambolle and Pock designed for problems with linear composite terms.
- Published
- 2013
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