Saddle Point Problems Research Articles

A splitting preconditioned primal-dual algorithm with interpolation and extrapolation for bilinear saddle point problem

A splitting preconditioned primal-dual algorithm with interpolation and extrapolation for bilinear saddle point problem

Efficient First Order Method for Saddle Point Problems with Higher Order Smoothness

Efficient First Order Method for Saddle Point Problems with Higher Order Smoothness

Three Ellipsoids for External Approximation of the Half-Ball

Introduction. Ellipsoids that approximate the half-ball in Rn (n≥2) and their volume is smaller than the volume of the ball can be used to construct algorithms for solving the problem of minimization of a convex (smooth or non-smooth) function, the problem of minimization of a convex function on a sphere, a general problem convex programming, saddle point problems of convex-concave functions and others. The speed of convergence of such algorithms will be determined by the ratio of the volume of the approximating ellipsoid to the volume of the ball. The purpose of the work is to describe properties of three ellipsoids for approximation of a n-dimensional half-ball, the volume reduction factor of which depends only on n - dimension of space. The first is the well-known ellipsoid of minimum volume, which is used in the classical Yudin-Nemirovsky-Shor ellipsoid method. It provides a minimum volume reduction factor and can be used if n≥2. If n=1, then the classical ellipsoid method replaces the dichotomy method. The other two ellipsoids are close to the minimum volume ellipsoid and at large n guarantee volume reduction coefficients close to the minimum. The results. It is shown that when n=1 the first approximate ellipsoid provides a coefficient of reduction of the segment length equal to 2–√2 ≈ 0.5858. The second approximate ellipsoid is new and the volume reduction factor for it is slightly larger than the factor for the first approximate ellipsoid. If n=1, then it provides a coefficient of reduction of the segment length equal to (√5–1)/2 ≈ 0.6180. For three ellipsoids, comparative results are given in terms of volume reduction coefficients (n=1/20) and the number of iterations for solving problems with relative accuracy 1e-10 (n=1/30). Conclusions. A new ellipsoid has been constructed to approximate the n-dimensional half-ball, which is close in volume to the minimal ellipsoid. The volume reduction factor of the proposed ellipsoid is approximated by an asymptotic formula 1–1/(2n)+1/n², which differs little from the formula 1–1/(2n) for an ellipsoid of minimum volume.

Mixed finite element method for multi-layer elastic contact systems

With the development of multi-layer elastic systems in the field of engineering mechanics, the corresponding variational inequality theory and algorithm design have received more attention and research. In this study, a class of equivalent saddle point problems with interlayer Tresca friction conditions and the mixed finite element method are proposed and analyzed. Then, the convergence of the numerical solution of the mixed finite element method is theoretically proven, and the corresponding algebraic dual algorithm is provided. Finally, through numerical experiments, the mixed finite element method is not only compared with the layer decomposition method, but also its convergence relationship with respect to the spatial discretization parameter H is verified.

Non-ergodic convergence rate of an inertial accelerated primal–dual algorithm for saddle point problems

In this paper, we design an inertial accelerated primal–dual algorithm to address the convex–concave saddle point problem, which is formulated as minxmaxyf(x)+〈Kx,y〉−g(y). Remarkably, both functions f and g exhibit a composite structure, combining “nonsmooth” ＋ “smooth” components. Under the assumption of partially strong convexity in the sense that f is convex and g is strongly convex, we introduce a novel inertial accelerated primal–dual algorithm based on Nesterov’s extrapolation. This algorithm can be reduced to two classical accelerated forward–backward methods for unconstrained optimization problem. We show that the proposed algorithm achieves a non-ergodic O(1/k2) convergence rate, where k represents the number of iterations. Several numerical experiments validate the efficiency of our proposed algorithm.

An improved lopsided shift-splitting preconditioner for three-by-three block saddle point problems

An improved lopsided shift-splitting preconditioner for three-by-three block saddle point problems

A symmetric multigrid-preconditioned Krylov subspace solver for Stokes equations

Numerical solution of discrete PDEs corresponding to saddle point problems is highly relevant to physical systems such as Stokes flow. However, scaling up numerical solvers for such systems is often met with challenges in efficiency and convergence. Multigrid is an approach with excellent applicability to elliptic problems such as the Stokes equations, and can be a solution to such challenges of scalability and efficiency. The degree of success of such methods, however, is highly contingent on the design of key components of the multigrid scheme, including the hierarchy of discretizations, and the relaxation scheme used. Additionally, in many practical cases, it may be more effective to use a multigrid scheme as a preconditioner to an iterative Krylov subspace solver, as opposed to striving for maximum efficacy of the relaxation scheme in all foreseeable settings. In this paper, we propose an efficient symmetric multigrid preconditioner for the Stokes Equations on a staggered finite difference discretization. Our contribution is focused on crafting a preconditioner that (a) is symmetric indefinite, matching the property of the Stokes system itself, (b) is appropriate for preconditioning the SQMR iterative scheme [1], and (c) has the requisite symmetry properties to be used in this context. In addition, our design is efficient in terms of computational cost and facilitates scaling to large domains.

Method with batching for stochastic finite-sum variational inequalities in non-Euclidean setting

Variational inequalities are a universal optimization paradigm that incorporate classical minimization and saddle point problems. Nowadays more and more tasks require to consider stochastic formulations of optimization problems. In this paper, we present an analysis of a method that gives optimal convergence estimates for monotone stochastic finite-sum variational inequalities. In contrast to the previous works, our method supports batching, does not lose the oracle complexity optimality and uses an arbitrary Bregman distance to take into account geometry of the problem. Paper provides experimental confirmation to algorithm’s effectiveness.

Self-adaptive alternating direction method of multiplier for a fourth order variational inequality

We propose an alternating direction method of multiplier for approximation solution of the unilateral obstacle problem with the biharmonic operator. We introduce an auxiliary unknown and augmented Lagrangian functional to deal with the inequality constrained, and we deduce a constrained minimization problem that is equivalent to a saddle-point problem. Then the alternating direction method of multiplier is applied to the corresponding problem. By using iterative functions, a self-adaptive rule is used to adjust the penalty parameter automatically. We show the convergence of the method and give the penalty parameter approximation in detail. Finally, the numerical results are given to illustrate the efficiency of the proposed method.

An Uzawa-DOS method for solving saddle-point problems

An Uzawa-DOS method for solving saddle-point problems

A modified improved alternating positive semi-definite splitting preconditioner for double saddle point problems

A modified improved alternating positive semi-definite splitting preconditioner for double saddle point problems

Modified projection generalized two-point two-stage extragradient quasinewton method for saddle point problems

Abstract. The purpose of this work is to investigate a new method mentioned in the article’s name. This method is designed for solving saddle problems with convexo-concave differentiable function that is defined on a convex closed subset of some finite-dimensional euclidean space and has «ravine» level hypersurfaces. The paper contains a brief survey of native publications devoted to new projection gradient methods for solving saddle problems. A mathematical statement of a saddle problem, information about solution method, some auxiliary inequalities, and method’s convergence are discussed in the article as well. Moreover, iterative formulas are exemplified for another perspective saddle method for convexo-concave differentiable saddle functions, which may be validated as well as formulas proved in this work. New auxiliary inequalities complete mathematical apparatus of convex analysis for justification of convergence and rate of convergence and have value also for justification of another methods of operations research. By using obtained inequalities, convex analysis and numerical mathematics, convergence of the saddle method for convexo-concave smooth saddle functions with Lipschitz partial gradients is proved. Under supplementary conditions, for twice continuously differentiable saddle functions, superlinear and quadratic rate of convergence of saddle method are proved, too.

An Optimal ADMM for Unilateral Obstacle Problems

We propose a new alternating direction method of multipliers (ADMM) with an optimal parameter for the unilateral obstacle problem. We first use the five-point difference scheme to discretize the problem. Then, we present an augmented Lagrangian by introducing an auxiliary unknown, and an ADMM is applied to the corresponding saddle-point problem. Through eliminating the primal and auxiliary unknowns, a pure dual algorithm is then used. The convergence of the proposed method is analyzed, and a simple strategy is presented for selecting the optimal parameter, with the largest and smallest eigenvalues of the iterative matrix. Several numerical experiments confirm the theoretical findings of this study.

Convergence rate analysis of the gradient descent–ascent method for convex–concave saddle-point problems

In this paper, we study the gradient descent–ascent method for convex–concave saddle-point problems. We derive a new non-asymptotic global convergence rate in terms of distance to the solution set by using the semidefinite programming performance estimation method. The given convergence rate incorporates most parameters of the problem and it is exact for a large class of strongly convex-strongly concave saddle-point problems for one iteration. We also investigate the algorithm without strong convexity and we provide some necessary and sufficient conditions under which the gradient descent–ascent enjoys linear convergence.

Schur Complement Based Preconditioners for Twofold and Block Tridiagonal Saddle Point Problems

Schur Complement Based Preconditioners for Twofold and Block Tridiagonal Saddle Point Problems

General Procedure to Provide High-Probability Guarantees for Stochastic Saddle Point Problems

General Procedure to Provide High-Probability Guarantees for Stochastic Saddle Point Problems

Approaches for fast Brownian dynamics simulation with constraints

Constraints can be used to eliminate quickly fluctuating degrees of freedom in dynamical systems enabling solutions that resolve the behavior of the system with fewer time steps over long time scales. In Brownian dynamics models, these constraints lead to linear equations which represent saddle point problems describing the velocity tangent to the constraint manifold and the forces resulting from imposition of the constraint on the dynamics. Simulations of these constrained systems must solve these saddle point problems, which are often ill-conditioned and require clever preconditioning in order to facilitate large scale simulation using iterative methods like GMRES. In this work, we show that the projected conjugate gradient (PrCG) method, which applies conjugate gradients projected onto the tangent space of the constraint manifold, has certain advantages compared to preconditioned iterative methods like GMRES, without the need to devise and compute a preconditioner. Specifically, for simulations of beads interacting hydrodynamically with commonly encountered holonomic constraints, PrCG exhibits linear scaling with the number of beads similar to GMRES. However, because PrCG does not require a preconditioner it often requires less precomputational effort both in terms of computational complexity and storage, depending on the nature of the constraints. Furthermore, PrCG produces iterates which are always feasible, allowing for independent tuning of the error tolerance on the bead velocities from the error tolerance on the constraint equations. We demonstrate PrCG's efficiency by solving several example low Reynolds number systems involving rigid bodies, freely jointed chains, and immobile particles, as well as a mixed constraint problem with both a rigid body and immobile particles, comparing to GMRES and analytical solutions, when available.

A GenEO Domain Decomposition method for Saddle Point problems

We introduce an adaptive element-based domain decomposition (DD) method for solving saddle point problems defined as a block two by two matrix. The algorithm does not require any knowledge of the constrained space. We assume that all sub matrices are sparse and that the diagonal blocks are spectrally equivalent to a sum of positive semi definite matrices. The latter assumption enables the design of adaptive coarse space for DD methods that extends the GenEO theory (Spillane et al., 2014) to saddle point problems. Numerical results on three dimensional elasticity problems for steel-rubber structures discretized by a finite element with continuous pressure are shown for up to one billion degrees of freedom.

Multicontinuum homogenization. General theory and applications

In this paper, we discuss a general framework for multicontinuum homogenization. Multicontinuum models are widely used in many applications and some derivations for these models are established. In these models, several macroscopic variables at each macroscale point are defined and the resulting multicontinuum equations are formulated. In this paper, we propose a general formulation and associated ingredients that allow performing multicontinuum homogenization. Our derivation consists of several main parts. In the first part, we propose a general expansion, where the solution is expressed via the product of multiple macro variables and associated cell problems. The second part consists of formulating the cell problems. The cell problems are formulated as saddle point problems with constraints for each continua. Defining the continua via test functions, we set the constraints as an integral representation. Finally, substituting the expansion to the original system, we obtain multicontinuum systems. We present an application to the mixed formulation of elliptic equations. This is a challenging system as the system does not have symmetry. We discuss the local problems and various macroscale representations for the solution and its gradient. Using various order approximations, one can obtain different systems of equations. We discuss the applicability of multicontinuum homogenization and relate this to high contrast in the cell problem. Numerical results are presented.

Convergence of a Ramshaw-Mesina iteration

In 1991 Ramshaw and Mesina introduced a clever synthesis of penalty methods and artificial compression methods. Its form makes it an interesting option to replace the pressure update in the Uzawa iteration. The result, for the Stokes problem, is (1)Step1:−△un+1+∇pn=f(x),inΩ, un+1|∂Ω=0,Step2:pn+1−pn+β∇⋅(un+1−un)+α2∇⋅un+1=0.For saddle point problems, including Stokes, this iteration converges under a condition similar to the one required for Uzawa iteration.