On the convergence of stochastic primal-dual hybrid gradient

Abstract: In this paper, we analyze the recently proposed stochastic primal-dual hybrid gradient (SPDHG) algorithm and provide new theoretical results. In particular, we prove almost sure convergence of the iterates to a solution with convexity and linear convergence with further structure, using standard step sizes independent of strong convexity or other regularity constants. In the general convex case, we also prove the $\mathcal{O}(1/k)$ convergence rate for the ergodic sequence, on expected primal-dual gap function. Our assumption for linear convergence is metric subregularity, which is satisfied for strongly convex-strongly concave problems in addition to many nonsmooth and/or nonstrongly convex problems, such as linear programs, Lasso, and support vector machines. We also provide numerical evidence showing that SPDHG with standard step sizes shows a competitive practical performance against its specialized strongly convex variant SPDHG-$\mu$ and other state-of-the-art algorithms including variance reduction methods.