Related papers: A Douglas-Rachford Splitting Method for Solving Mo…
After re-casting the $n$-dimensional wavelet construction problem as a feasibility problem with constraints arising from the requirements of compact support, smoothness and orthogonality, the Douglas--Rachford algorithm is employed in the…
We present high order explicit geometric integrators to solve linear-quadratic optimal control problems and $N$-player differential games. These problems are described by a system coupled non-linear differential equations with boundary…
In this paper, we consider nonconvex decentralised optimisation and learning over a network of distributed agents. We develop an ADMM algorithm based on the Randomised Block Coordinate Douglas-Rachford splitting method which enables agents…
We analyze a simple variant of the Goldfarb-Idnani (GI) dual active-set method for computing variational generalized Nash equilibria of strongly monotone N-player games with convex quadratic costs and shared affine inequality and equality…
Douglas-Rachford (DR) algorithm is analyzed for Fourier phase retrieval with a single random phase mask. Local, geometric convergence to a unique fixed point is proved with numerical demonstration of global convergence.
The Douglas--Rachford (DR) and alternating direction method of multipliers (ADMM) are two proximal splitting algorithms designed to minimize the sum of two proper lower semi-continuous convex functions whose proximity operators are easy to…
The alternating direction multiplier method (ADMM) is widely used in computer graphics for solving optimization problems that can be nonsmooth and nonconvex. It converges quickly to an approximate solution, but can take a long time to…
Under conditions that prevent tangential intersection, we prove quadratic convergence of a projection algorithm for the feasibility problem of finding a point in the intersection of a smooth curve and line in $\mathbb{R}^2$. This nonconvex…
This paper addresses the problem of steering a discrete-time linear dynamical system from an initial Gaussian distribution to a final distribution in a game-theoretic setting. One of the two players strives to minimize a quadratic payoff,…
We propose a method for solving parity games with acyclic (DAG) sub-structures by computing nested fixpoints of a DAG attractor function that lives over the non-DAG parts of the game, thereby restricting the domain of the involved fixpoint…
This paper presents a reformulation of the construction of nonseparable multiresolution quaternion-valued wavelets on the plane as a feasibility problem. The constraint sets in the feasibility problem are derived from the standard…
This paper is concerned with a linear quadratic stochastic two-person zero-sum differential game with constant coefficients in an infinite time horizon. Open-loop and closed-loop saddle points are introduced. The existence of closed-loop…
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 prove that the Douglas--Rachford method applied to two closed convex cones in the Euclidean plane converges in finitely many steps if and only if the set of fixed points of the Douglas--Rachford operator is nontrivial. We analyze this…
For the inclusion problem involving two maximal monotone operators, under the metric subregularity of the composite operator, we derive the linear convergence of the generalized proximal point algorithm and several splitting algorithms,…
In this work, we study the distributed Nash equilibrium seeking problem for monotone generalized noncooperative games with set constraints and shared affine inequality constraints. A distributed regularized penalty method is proposed. The…
In this paper we give general recommendations for successful application of the Douglas-Rachford reflection method to convex and non-convex real matrix-completion problems. These guidelines are demonstrated by various illustrative examples.
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…
Although the performance of popular optimization algorithms such as Douglas-Rachford splitting (DRS) and the ADMM is satisfactory in small and well-scaled problems, ill conditioning and problem size pose a severe obstacle to their reliable…
We consider stochastic differential games with $N$ nearly identical players, linear-Gaussian dynamics, and infinite horizon discounted quadratic cost. Admissible controls are feedbacks for which the system is ergodic. We first study the…