cpasocp

Chambolle-Pock Algorithm Solving Optimal Control Problems

Overview

Implement the Chambolle-Pock algorithm in Python and compare it to state-of-the-art algorithms (e.g. ADMM).

Furthermore, using acceleration algorithms to speed it up.

Implemented algorithms

• Chambolle-Pock method
• Alternating Direction Method of Multipliers
• Chambolle-Pock method with scaling constraints
• ADMM with scaling constraints
• SuperMann acceleration
• Anderson's acceleration (for choosing direction for SuperMann)

Results

Chambolle-Pock method Residuals vs Iterations

Chambolle-Pock method with SuperMann Residuals vs Iterations

Comparison all performance profile

Comparison CP ADMM performance profile

Comparison CP ADMM scaling performance profile

Comparison scaling performance profile