中科院数学与系统科学研究院
数学研究所
学术报告会
报告人：Dr. Hongpeng Sun （University of Graz, Austria)
题 目：Preconditioned Douglas-Rachford splitting methods for convex -concave saddle-point problems
时 间：12.16（星期二）, 10:00--11:00
地 点：数学院南楼N913室
Abstract: We propose a preconditioned version of the Douglas-Rachford splitting method for solving convex-concave saddle-point problems associated with Fenchel-Rockafellar duality. It allows to use approximate solvers for the linear subproblem arising in this context. We prove weak convergence in Hilbert space under minimal assumptions. In particular, various efficient preconditioners are introduced in this framework for which only a few inner iterations are needed instead of computing an exact solution or controlling the error. The method is applied to a discrete total-variation denoising problem. Numerical experiments show that the proposed algorithms with appropriate preconditioners are very competitive to existing fast algorithms including the first-order primal-dual algorithm for saddle-point problems of Chambolle and Pock. This is a joint work with Kristian Bredies.
