Related papers: A Three-Operator Splitting Scheme and its Optimiza…
The obstacle problem is a class of free boundary problems which finds applications in many disciplines such as porous media, financial mathematics and optimal control. In this paper, we propose two operator-splitting methods to solve the…
Operator splitting methods solve composite optimization problems by breaking them into smaller sub-problems that can be solved sequentially or in parallel. In this paper, we propose a unified framework for certifying both linear and…
Primal-dual splitting schemes are a class of powerful algorithms that solve complicated monotone inclusions and convex optimization problems that are built from many simpler pieces. They decompose problems that are built from sums, linear…
We present a method for constructing numerical schemes with up to 3rd strong convergence order for solution of a class of stochastic differential equations, including equations of the Langevin type. The construction proceeds in two stages.…
Finding a zero of a sum of maximally monotone operators is a fundamental problem in modern optimization and nonsmooth analysis. Assuming that resolvents of the operators are available, this problem can be tackled with the Douglas-Rachford…
Analyzing the worst-case performance of deep neural networks against input perturbations amounts to solving a large-scale non-convex optimization problem, for which several past works have proposed convex relaxations as a promising…
In this paper we provide a generalization of the Douglas-Rachford splitting (DRS) and the primal-dual algorithm (Vu 2013, Condat 2013) for solving monotone inclusions in a real Hilbert space involving a general linear operator. The proposed…
Three Operator Splitting (TOS) (Davis & Yin, 2017) can minimize the sum of multiple convex functions effectively when an efficient gradient oracle or proximal operator is available for each term. This requirement often fails in machine…
Operator splitting is a popular divide-and-conquer strategy for solving differential equations. Typically, the right-hand side of the differential equation is split into a number of parts that are then integrated separately. Many methods…
In this paper, we propose a primal-dual splitting algorithm for a broad class of structured composite monotone inclusions that involve finitely many set-valued operators, compositions of set-valued operators with bounded linear operators,…
Splitting schemes are a class of powerful algorithms that solve complicated monotone inclusions and convex optimization problems that are built from many simpler pieces. They give rise to algorithms in which the simple pieces of the…
Operator splitting methods allow to split the operator describing a complex dynamical system into a sequence of simpler subsystems and treat each part independently. In the modeling of dynamical problems, systems of (possibly coupled)…
The Douglas-Rachford algorithm is a classical and powerful splitting method for minimizing the sum of two convex functions and, more generally, finding a zero of the sum of two maximally monotone operators. Although this algorithm is well…
We shed light on the structure of the "three-operator" version of the forward-Douglas--Rachford splitting algorithm for finding a zero of a sum of maximally monotone operators $A + B + C$, where $B$ is cocoercive, involving only the…
In recent years, several convergent multi-block variants of the alternating direction method of multipliers (ADMM) have been proposed for solving the convex quadratic semidefinite programming via its dual, which is naturally a 3-block…
Splitting schemes are a class of powerful algorithms that solve complicated monotone inclusion and convex optimization problems that are built from many simpler pieces. They give rise to algorithms in which the simple pieces of the…
We propose an abstract stochastic scheme for solving a broad range of monotone operator inclusion problems in Hilbert spaces. This framework allows for the introduction of stochasticity at several levels in monotone operator splitting…
We study frugal splitting algorithms with minimal lifting for solving monotone inclusion problems involving sums of maximal monotone and cocoercive operators. Building on a foundational result by Ryu, we fully characterize all methods that…
This work introduces and rigorously analyzes a novel operator-splitting finite element scheme for approximating viscosity solutions of a broad class of constrained second-order partial differential equations. By decoupling the primary PDE…
The Douglas-Rachford splitting method is a classical and widely used algorithm for solving monotone inclusions involving the sum of two maximally monotone operators. It was recently shown to be the unique frugal, no-lifting…