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In this work we propose a stochastic primal-dual preconditionedthree-operator splitting algorithm for solving a class of convexthree-composite optimization problems. Our proposed scheme is a directthree-operator splitting extension of the SPDHG algorithm [Chambolle et al.2018]. We provide theoretical convergence analysis showing ergodic O(1/K)convergence rate, and demonstrate the effectiveness of our approach in imaginginverse problems.

Stochastic Primal-Dual Three Operator Splitting with Arbitrary Sampling and Preconditioning