Stochastic Primal-Dual Three Operator Splitting with Arbitrary Sampling and Preconditioning

08/02/2022

∙

by   Junqi Tang, et al.

∙

0

∙

share

In this work we propose a stochastic primal-dual preconditioned three-operator splitting algorithm for solving a class of convex three-composite optimization problems. Our proposed scheme is a direct three-operator splitting extension of the SPDHG algorithm [Chambolle et al. 2018]. We provide theoretical convergence analysis showing ergodic O(1/K) convergence rate, and demonstrate the effectiveness of our approach in imaging inverse problems.