Variable-Wise Diagonal Preconditioning for Primal-Dual Splitting: Design and Applications

This paper proposes a method of designing appropriate diagonal preconditioners for a preconditioned primal-dual splitting method (P-PDS). P-PDS can efficiently solve various types of convex optimization problems arising in signal processing and image processing. Since the appropriate diagonal preconditioners that accelerate the convergence of P-PDS vary greatly depending on the structure of the target optimization problem, a design method of diagonal preconditioners for PPDS has been proposed to determine them automatically from the problem structure. However, the existing method has two limitations: it requires direct access to all elements of the matrices representing the linear operators involved in the target optimization problem, and it is element-wise preconditioning, which makes certain types of proximity operators impossible to compute analytically. To overcome these limitations, we establish an Operator-norm-based design method of Variable-wise Diagonal Preconditioning (OVDP). First, the diagonal preconditioners constructed by OVDP are defined using only the operator norm or its upper bound of the linear operator thus eliminating the need for their explicit matrix representations. Furthermore, since our method is variable-wise preconditioning, it keeps all proximity operators efficiently computable. We also prove that our preconditioners satisfy the convergence conditions of PPDS. Finally, we demonstrate the effectiveness and utility of our method through applications to hyperspectral image mixed noise removal, hyperspectral unmixing, and graph signal recovery.