Primal-dual Accelerated Mirror-Descent Method for Constrained Bilinear Saddle-Point Problems
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arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866917793525399552 |
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| author | Li, Weijian Zeng, Xianlin Pavel, Lacra |
| author_facet | Li, Weijian Zeng, Xianlin Pavel, Lacra |
| contents | We develop a first-order accelerated algorithm for a class of constrained bilinear saddle-point problems with applications to network systems. The algorithm is a modified time-varying primal-dual version of an accelerated mirror-descent dynamics. It deals with constraints such as simplices and convex set constraints effectively, and converges with a rate of $O(1/t^2)$. Furthermore, we employ the acceleration scheme to constrained distributed optimization and bilinear zero-sum games, and obtain two variants of distributed accelerated algorithms. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_18285 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Primal-dual Accelerated Mirror-Descent Method for Constrained Bilinear Saddle-Point Problems Li, Weijian Zeng, Xianlin Pavel, Lacra Optimization and Control We develop a first-order accelerated algorithm for a class of constrained bilinear saddle-point problems with applications to network systems. The algorithm is a modified time-varying primal-dual version of an accelerated mirror-descent dynamics. It deals with constraints such as simplices and convex set constraints effectively, and converges with a rate of $O(1/t^2)$. Furthermore, we employ the acceleration scheme to constrained distributed optimization and bilinear zero-sum games, and obtain two variants of distributed accelerated algorithms. |
| title | Primal-dual Accelerated Mirror-Descent Method for Constrained Bilinear Saddle-Point Problems |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2409.18285 |