447 research outputs found
An inertial forward-backward algorithm for monotone inclusions
In this paper, we propose an inertial forward backward splitting algorithm to
compute a zero of the sum of two monotone operators, with one of the two
operators being co-coercive. The algorithm is inspired by the accelerated
gradient method of Nesterov, but can be applied to a much larger class of
problems including convex-concave saddle point problems and general monotone
inclusions. We prove convergence of the algorithm in a Hilbert space setting
and show that several recently proposed first-order methods can be obtained as
special cases of the general algorithm. Numerical results show that the
proposed algorithm converges faster than existing methods, while keeping the
computational cost of each iteration basically unchanged.Comment: The final publication is available at http://link.springer.co
A stochastic inertial forward-backward splitting algorithm for multivariate monotone inclusions
We propose an inertial forward-backward splitting algorithm to compute the
zero of a sum of two monotone operators allowing for stochastic errors in the
computation of the operators. More precisely, we establish almost sure
convergence in real Hilbert spaces of the sequence of iterates to an optimal
solution. Then, based on this analysis, we introduce two new classes of
stochastic inertial primal-dual splitting methods for solving structured
systems of composite monotone inclusions and prove their convergence. Our
results extend to the stochastic and inertial setting various types of
structured monotone inclusion problems and corresponding algorithmic solutions.
Application to minimization problems is discussed
A first-order stochastic primal-dual algorithm with correction step
We investigate the convergence properties of a stochastic primal-dual
splitting algorithm for solving structured monotone inclusions involving the
sum of a cocoercive operator and a composite monotone operator. The proposed
method is the stochastic extension to monotone inclusions of a proximal method
studied in {\em Y. Drori, S. Sabach, and M. Teboulle, A simple algorithm for a
class of nonsmooth convex-concave saddle-point problems, 2015} and {\em I.
Loris and C. Verhoeven, On a generalization of the iterative soft-thresholding
algorithm for the case of non-separable penalty, 2011} for saddle point
problems. It consists in a forward step determined by the stochastic evaluation
of the cocoercive operator, a backward step in the dual variables involving the
resolvent of the monotone operator, and an additional forward step using the
stochastic evaluation of the cocoercive introduced in the first step. We prove
weak almost sure convergence of the iterates by showing that the primal-dual
sequence generated by the method is stochastic quasi Fej\'er-monotone with
respect to the set of zeros of the considered primal and dual inclusions.
Additional results on ergodic convergence in expectation are considered for the
special case of saddle point models
Inertial Douglas-Rachford splitting for monotone inclusion problems
We propose an inertial Douglas-Rachford splitting algorithm for finding the
set of zeros of the sum of two maximally monotone operators in Hilbert spaces
and investigate its convergence properties. To this end we formulate first the
inertial version of the Krasnosel'ski\u{\i}--Mann algorithm for approximating
the set of fixed points of a nonexpansive operator, for which we also provide
an exhaustive convergence analysis. By using a product space approach we employ
these results to the solving of monotone inclusion problems involving linearly
composed and parallel-sum type operators and provide in this way iterative
schemes where each of the maximally monotone mappings is accessed separately
via its resolvent. We consider also the special instance of solving a
primal-dual pair of nonsmooth convex optimization problems and illustrate the
theoretical results via some numerical experiments in clustering and location
theory.Comment: arXiv admin note: text overlap with arXiv:1402.529
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