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arXiv · 2201.07684

On the Complexity of a Practical Primal-Dual Coordinate Method

Ahmet Alacaoglu·Volkan Cevher·Stephen J. Wright
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Abstract

We prove complexity bounds for the primal-dual algorithm with random extrapolation and coordinate descent (PURE-CD), which has been shown to obtain good practical performance for solving convex-concave min-max problems with bilinear coupling. Our complexity bounds either match or improve the best-known results in the literature for both dense and sparse (strongly)-convex-(strongly)-concave problems.

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Ahmet Alacaoglu, Volkan Cevher, Stephen J. Wright. 2022-01-19. On the Complexity of a Practical Primal-Dual Coordinate Method. https://arxiv.org/abs/2201.07684

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