Title: Stochastic Primal-Dual Hybrid Gradient Algorithm with Arbitrary Sampling and Imaging Applications,
Abstract: We propose a stochastic extension of the primal-dual hybrid gradient
algorithm studied by Chambolle and Pock in 2011 to solve saddle point problems
that are separable in the dual variable. The analysis is carried out for
general convex-concave saddle point problems and problems that are either
partially smooth / strongly convex or fully smooth / strongly convex. We
perform the analysis for arbitrary samplings of dual variables, and obtain
known deterministic results as a special case. Several variants of our
stochastic method significantly outperform the deterministic variant on a
variety of imaging tasks.