A first-order stochastic primal-dual algorithm with correction step

We investigate the convergence properties of a stochastic primal-dual splitting algorithm for solving structured monotone inclusions involving the sum of a cocoercive operator and a composite monotone operator. The proposed method is the stochastic extension to monotone inclusions of a proximal method studied in {\em Y. Drori, S. Sabach, and M. Teboulle, A simple algorithm for a class of nonsmooth convex-concave saddle-point problems, 2015} and {\em I. Loris and C. Verhoeven, On a generalization of the iterative soft-thresholding algorithm for the case of non-separable penalty, 2011} for saddle point problems. It consists in a forward step determined by the stochastic evaluation of the cocoercive operator, a backward step in the dual variables involving the resolvent of the monotone operator, and an additional forward step using the stochastic evaluation of the cocoercive introduced in the first step. We prove weak almost sure convergence of the iterates by showing that the primal-dual sequence generated by the method is stochastic quasi Fej\'er-monotone with respect to the set of zeros of the considered primal and dual inclusions. Additional results on ergodic convergence in expectation are considered for the special case of saddle point models

Switch and Conquer: Efficient Algorithms By Switching Stochastic Gradient Oracles For Decentralized Saddle Point Problems

We consider a class of non-smooth strongly convex-strongly concave saddle point problems in a decentralized setting without a central server. To solve a consensus formulation of problems in this class, we develop an inexact primal dual hybrid gradient (inexact PDHG) procedure that allows generic gradient computation oracles to update the primal and dual variables. We first investigate the performance of inexact PDHG with stochastic variance reduction gradient (SVRG) oracle. Our numerical study uncovers a significant phenomenon of initial conservative progress of iterates of IPDHG with SVRG oracle. To tackle this, we develop a simple and effective switching idea, where a generalized stochastic gradient (GSG) computation oracle is employed to hasten the iterates' progress to a saddle point solution during the initial phase of updates, followed by a switch to the SVRG oracle at an appropriate juncture. The proposed algorithm is named Decentralized Proximal Switching Stochastic Gradient method with Compression (C-DPSSG), and is proven to converge to an $\epsilon$-accurate saddle point solution with linear rate. Apart from delivering highly accurate solutions, our study reveals that utilizing the best convergence phases of GSG and SVRG oracles makes C-DPSSG well suited for obtaining solutions of low/medium accuracy faster, useful for certain applications. Numerical experiments on two benchmark machine learning applications show C-DPSSG's competitive performance which validate our theoretical findings.Comment: arXiv admin note: substantial text overlap with arXiv:2205.1445

Stochastic Variance Reduction Methods for Saddle-Point Problems

We consider convex-concave saddle-point problems where the objective functions may be split in many components, and extend recent stochastic variance reduction methods (such as SVRG or SAGA) to provide the first large-scale linearly convergent algorithms for this class of problems which is common in machine learning. While the algorithmic extension is straightforward, it comes with challenges and opportunities: (a) the convex minimization analysis does not apply and we use the notion of monotone operators to prove convergence, showing in particular that the same algorithm applies to a larger class of problems, such as variational inequalities, (b) there are two notions of splits, in terms of functions, or in terms of partial derivatives, (c) the split does need to be done with convex-concave terms, (d) non-uniform sampling is key to an efficient algorithm, both in theory and practice, and (e) these incremental algorithms can be easily accelerated using a simple extension of the "catalyst" framework, leading to an algorithm which is always superior to accelerated batch algorithms.Comment: Neural Information Processing Systems (NIPS), 2016, Barcelona, Spai

A Primal Dual Smoothing Framework for Max-Structured Nonconvex Optimization

We propose a primal dual first-order smoothing framework for solving a class of nonsmooth nonconvex optimization problems with max-structure. We analyze the primal and dual oracle complexities of the framework via two approaches, i.e., the dual-then-primal and primal-the-dual smoothing approaches. Our framework improves the best-known oracle complexities of the existing methods, even in the restricted problem setting. As the cornerstone of our framework, we propose a conceptually simple primal dual method for solving a class of convex-concave saddle-point problems with primal strong convexity, which is based on a newly developed non-Hilbertian inexact accelerated proximal gradient algorithm. This primal dual method has a dual oracle complexity that is significantly better than the previous ones, and a primal oracle complexity that matches the best-known, up to logarithmic factor. Finally, we extend our framework to the stochastic case, and demonstrate that the oracle complexities of this extension indeed match the state-of-the-art.Comment: 37 page