A Generalized Primal-Dual Correction Method for Saddle-Point Problems with the Nonlinear Coupling Operator

Recently, the generalized primal-dual (GPD) method was developed for saddle-point problems (SPPs) with a linear coupling operator. However, the coupling operator in many engineering applications is nonlinear. In this letter, we propose a generalized primal-dual correction method (GPD-CM) to handle SPPs with a nonlinear coupling operator. To achieve this, we customize the proximal matrix and corrective matrix by adjusting the values of regularization factors. By the unified framework, the convergence of GPD-CM is directly obtained. Numerical results on a SPP with an exponential coupling operator support theoretical analysis.