Graph and distributed extensions of the Douglas-Rachford method
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Abstract: In this paper, we propose several graph-based extensions of the Douglas-Rachford splitting (DRS) method to solve monotone inclusion problems involving the sum of maximal monotone operators. Our construction is based on a two-layer architecture that we refer to as bilevel graphs, to which we associate a generalization of the DRS algorithm that presents the prescribed structure. The resulting schemes can be understood as unconditionally stable frugal resolvent splitting methods with a minimal lifting in the sense of Ryu [Math Program 182(1):233-273, 2020], as well as instances of the (degenerate) Preconditioned Proximal Point method, which provides robust convergence guarantees. We further describe how the graph-based extensions of the DRS method can be leveraged to design new fully distributed protocols. Applications to a congested optimal transport problem and to distributed Support Vector Machines show interesting connections with the underlying graph topology and highly competitive performances with state-of-the-art distributed optimization approaches.
Cited in
(5)- Wasserstein medians: robustness, PDE characterization, and numerics
- On degenerate preconditioned proximal point methods under restricted monotonicity
- Forward-backward algorithms devised by graphs
- A general approach to distributed operator splitting
- On the Bredies-Chenchene-Lorenz-Naldi algorithm: linear relations and strong convergence
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