Inertial Primal-Dual Dynamics Methods Featuring Implicit Hessian-Driven Damping for Convex Optimization Problems in Continuous and Discrete Time
TL;DR
This paper investigates inertial primal-dual dynamics with implicit Hessian-driven damping for strongly convex optimization problems with linear equality constraints with fast convergence rates and derives an inertial accelerated primal-dual algorithm for solving the strongly convex optimization problems.
Abstract
This paper investigates inertial primal-dual dynamics with implicit Hessian-driven damping for strongly convex optimization problems with linear equality constraints. We first establish fast convergence rates for the objective function value error, the feasibility measure, and both the trajectory and its corresponding velocity vector. By appropriately adjusting parameters, we show that the proposed system achieves exponential convergence rates. Through implicit time discretization of the dynamical system, we derive an inertial accelerated primal-dual algorithm for solving the strongly convex optimization problems. Using Lyapunov-based method, we show that the proposed algorithm achieves convergence rates consistent with those of its continuous-time counterpart. We also extend the obtained results to non-smooth convex optimization case. Furthermore, we conduct numerical experiments to illustrate theoretical results.