Primal-dual hybrid gradient method
The Primal-Dual Hybrid Gradient (PDHG) method, also known as the Chambolle-Pock method, is a powerful splitting method that can solve a wide range of constrained and non-differentiable optimization problems. Unlike the popular ADMM method, the PDHG approach usually does not require expensive minimization sub-steps. We provide adaptive stepsize selection rules that automate the solver, and increase its speed and robustness. The test problems and adaptive stepsize strategies presented here were proposed in our papers Adaptive Primal-Dual Hybrid Gradient Methods for Saddle-Point Problems and Adaptive Primal-Dual Splitting Methods for Statistical Learning and Image Processing.
