A first-order primal-dual method with adaptivity to local smoothness

Maria-Luiza Vladarean, Yura Malitsky, Volkan Cevher

We consider the problem of finding a saddle point for the convex-concave objective ${\min }_x{\max }_{y}f(x)+⟨Ax,y⟩-g^{\ast }(y)$, where $f$ is a convex function with locally…