A primal-dual flow for affine constrained convex optimization
Hao Luo
Abstract
We introduce a novel primal-dual flow for affine constrained convex optimization problems. As a modification of the standard saddle-point system, our flow model is proved to possess the exponential decay property, in terms of a tailored Lyapunov function. Then two primal-dual methods are obtained from numerical discretizations of the continuous problem, and global nonergodic linear convergence rate is established via a discrete Lyapunov function. Instead of solving the subproblem of the primal variable, we apply the semi-smooth Newton iteration to the inner problem with respect to the multiplier, provided that there are some additional properties such as semi-smoothness and sparsity. Finally, numerical tests on the linearly constrained l 1 - l 2 minimization and the tot al-variation based image denoising model have been provided.