Non-Stationary First-Order Primal-Dual Algorithms with Fast Convergence Rates

In this paper, we propose two novel non-stationary first-order primal-dual algorithms to solve nonsmooth composite convex optimization problems. Unlike existing primal-dual schemes where the parameters are often fixed, our methods use pre-defined and dynamic sequences for parameters. We prove that our first algorithm can achieve O(1/k) convergence rate on the primal-dual gap, and primal and … Read more

Sieve-SDP: a simple facial reduction algorithm to preprocess semidefinite programs

We introduce Sieve-SDP, a simple algorithm to preprocess semidefinite programs (SDPs). Sieve-SDP belongs to the class of facial reduction algorithms. It inspects the constraints of the problem, deletes redundant rows and columns, and reduces the size of the variable matrix. It often detects infeasibility. It does not rely on any optimization solver: the only subroutine … Read more