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arXiv · 1606.06219

Primal-dual extragradient methods for nonlinear nonsmooth PDE-constrained optimization

Christian Clason·Tuomo Valkonen
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Abstract

We study the extension of the Chambolle--Pock primal-dual algorithm to nonsmooth optimization problems involving nonlinear operators between function spaces. Local convergence is shown under technical conditions including metric regularity of the corresponding primal-dual optimality conditions. We also show convergence for a Nesterov-type accelerated variant provided one part of the functional is strongly convex. We show the applicability of the accelerated algorithm to examples of inverse problems with $L^1$- and $L^\infty$-fitting terms as well as of state-constrained optimal control problems, where convergence can be guaranteed after introducing an (arbitrary small, still nonsmooth) Moreau--Yosida regularization. This is verified in numerical examples.

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Christian Clason, Tuomo Valkonen. 2016-06-20. Primal-dual extragradient methods for nonlinear nonsmooth PDE-constrained optimization. https://doi.org/10.1137/16m1080859

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