Faster Lagrangian-Based Methods in Convex Optimization
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In this paper, we aim at unifying, simplifying, and improving the convergence rate analysis of Lagrangian-based methods for convex optimization problems. We first introduce the notion of nice primal algorithmic map, which plays a central role in the unification and in the simplification of the analysis of all Lagrangian-based methods. Equipped with a nice primal algorithmic map, we then introduce a versatile generic scheme, which allows for the design and analysis of Faster LAGrangian (FLAG) methods with a new provably sublinear rate of convergence expressed in terms of functions values and feasibility violation of the original (non-ergodic) generated sequence. To demonstrate the power and versatility of our approach and results, we show that all well-known iconic Lagrangian-based schemes admit a nice primal algorithmic map, and hence share the new faster rate of convergence results within their corresponding FLAG.
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