Shadow Douglas–Rachford splitting for monotone inclusions

ER Csetnek, Y Malitsky, MK Tam - Applied Mathematics & Optimization, 2019 - Springer
Applied Mathematics & Optimization, 2019Springer
In this work, we propose a new algorithm for finding a zero of the sum of two monotone
operators where one is assumed to be single-valued and Lipschitz continuous. This
algorithm naturally arises from a non-standard discretization of a continuous dynamical
system associated with the Douglas–Rachford splitting algorithm. More precisely, it is
obtained by performing an explicit, rather than implicit, discretization with respect to one of
the operators involved. Each iteration of the proposed algorithm requires the evaluation of …
Abstract
In this work, we propose a new algorithm for finding a zero of the sum of two monotone operators where one is assumed to be single-valued and Lipschitz continuous. This algorithm naturally arises from a non-standard discretization of a continuous dynamical system associated with the Douglas–Rachford splitting algorithm. More precisely, it is obtained by performing an explicit, rather than implicit, discretization with respect to one of the operators involved. Each iteration of the proposed algorithm requires the evaluation of one forward and one backward operator.
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