Interior-proximal primal-dual methods

Abstract: We study preconditioned proximal point methods for a class of saddle point problems, where the preconditioner decouples the overall proximal point method into an alternating primal--dual method. This is akin to the Chambolle--Pock method or the ADMM. In our work, we replace the squared distance in the dual step by a barrier function on a symmetric cone, while using a standard (Euclidean) proximal step for the primal variable. We show that under non-degeneracy and simple linear constraints, such a hybrid primal--dual algorithm can achieve linear convergence on originally strongly convex problems involving the second-order cone in their saddle point form. On general symmetric cones, we are only able to show an $O(1/N)$ rate. These results are based on estimates of strong convexity of the barrier function, extended with a penalty to the boundary of the symmetric cone.