A unified differential equation solver approach for separable convex optimization: Splitting, acceleration and nonergodic rate

Source abstract

This paper provides a self-contained ordinary differential equation solver approach for separable convex optimization problems. A novel primal-dual dynamical system with built-in time rescaling factors is introduced, and the exponential decay of a tailored Lyapunov function is established. Then several time discretizations of the continuous model are considered and analyzed via a unified discrete Lyapunov function. Moreover, two families of accelerated primal-dual methods are obtained, and nonergodic optimal mixed-type convergence rates shall be proved for the primal objective residual, the feasibility violation and the Lagrangian gap. Finally, numerical experiments are provided to validate the practical performances of the proposed methods.