Stochastic Proximal Point Methods for Monotone Inclusions under Expected Similarity
Optimization and Control
2024-05-24 v1
Abstract
Monotone inclusions have a wide range of applications, including minimization, saddle-point, and equilibria problems. We introduce new stochastic algorithms, with or without variance reduction, to estimate a root of the expectation of possibly set-valued monotone operators, using at every iteration one call to the resolvent of a randomly sampled operator. We also introduce a notion of similarity between the operators, which holds even for discontinuous operators. We leverage it to derive linear convergence results in the strongly monotone setting.
Cite
@article{arxiv.2405.14255,
title = {Stochastic Proximal Point Methods for Monotone Inclusions under Expected Similarity},
author = {Abdurakhmon Sadiev and Laurent Condat and Peter Richtárik},
journal= {arXiv preprint arXiv:2405.14255},
year = {2024}
}