Authors
Antonin Chambolle, Matthias J Ehrhardt, Peter Richtárik, Carola-Bibiane Schönlieb
Publication date
2018/10/2
Journal
SIAM Journal on Optimization
Volume
28
Issue
4
Pages
2783-2808
Publisher
Society for Industrial and Applied Mathematics
Description
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 we obtain known deterministic results as a special case. Several variants of our stochastic method significantly outperform the deterministic variant on a variety of imaging tasks.
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