On the convergence and sampling of randomized primal-dual algorithms and their application to parallel MRI reconstruction

Abstract: Stochastic Primal-Dual Hybrid Gradient (SPDHG) is an algorithm proposed by Chambolle et al. (2018) to efficiently solve a wide class of nonsmooth large-scale optimization problems. In this paper we contribute to its theoretical foundations and prove its almost sure convergence for convex but neither necessarily strongly convex nor smooth functionals, as well as for any random sampling. In addition, we study SPDHG for parallel Magnetic Resonance Imaging reconstruction, where data from different coils are randomly selected at each iteration. We apply SPDHG using a wide range of random sampling methods and compare its performance across a range of settings, including mini-batch size and step size parameters. We show that the sampling can significantly affect the convergence speed of SPDHG and for many cases an optimal sampling can be identified.