Paper ID: 2201.07684

On the Complexity of a Practical Primal-Dual Coordinate Method

Ahmet Alacaoglu, Volkan Cevher, Stephen J. Wright

We prove complexity bounds for the primal-dual algorithm with random extrapolation and coordinate descent (PURE-CD), which has been shown to obtain good practical performance for solving convex-concave min-max problems with bilinear coupling. Our complexity bounds either match or improve the best-known results in the literature for both dense and sparse (strongly)-convex-(strongly)-concave problems.

Submitted: Jan 19, 2022