Douglas-Rachford Splitting: Complexity Estimates and Accelerated Variants

MaRDI QIDQ6253420zbMATH OpenFDO

Authors Panagiotis Patrinos, Lorenzo Stella, A. Bemporad

Publication date 24 July 2014

Mathematics Subject Classification ID

Monotone operators and generalizations (47H05) Numerical mathematical programming methods (65K05) Convex programming (90C25)

Abstract: We propose a new approach for analyzing convergence of the Douglas-Rachford splitting method for solving convex composite optimization problems. The approach is based on a continuously differentiable function, the Douglas-Rachford Envelope (DRE), whose stationary points correspond to the solutions of the original (possibly nonsmooth) problem. By proving the equivalence between the Douglas-Rachford splitting method and a scaled gradient method applied to the DRE, results from smooth unconstrained optimization are employed to analyze convergence properties of DRS, to tune the method and to derive an accelerated version of it.

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