The Chambolle--Pock method converges weakly with $\theta>1/2$ and $\tau \sigma \|L\|^2<4/(1+2\theta)$

TL;DR

This paper extends the convergence analysis of the Chambolle--Pock method, showing weak convergence for a broader range of the extrapolation parameter $ heta$ beyond the previously assumed value of 1.

Contribution

It proves weak convergence of the Chambolle--Pock method for $ heta>1/2$ and tightens the step size bounds, expanding the method's theoretical understanding.

Findings

Weak convergence holds for $ heta>1/2$.

Step size bounds are tight, with nonconvergence demonstrated if violated.

Convergence previously assumed only at $ heta=1$.

Abstract

The Chambolle--Pock method is a versatile three-parameter algorithm designed to solve a broad class of composite convex optimization problems, which encompass two proper, lower semicontinuous, and convex functions, along with a linear operator $L$. The functions are accessed via their proximal operators, while the linear operator is evaluated in a forward manner. Among the three algorithm parameters $\tau $, $\sigma $, and $\theta$; $\tau,\sigma >0$ serve as step sizes for the proximal operators, and $\theta$ is an extrapolation step parameter. Previous convergence results have been based on the assumption that $\theta=1$. We demonstrate that weak convergence is achievable whenever $\theta> 1/2$ and $\tau \sigma \|L\|^2<4/(1+2\theta)$. Moreover, we establish tightness of the step size bound by providing an example that is nonconvergent whenever the second bound is violated.