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arXiv · 1206.6791

Variable Metric Forward-Backward Splitting with Applications to Monotone Inclusions in Duality

Patrick L. Combettes·Bang C. Vũ
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Abstract

We propose a variable metric forward-backward splitting algorithm and prove its convergence in real Hilbert spaces. We then use this framework to derive primal-dual splitting algorithms for solving various classes of monotone inclusions in duality. Some of these algorithms are new even when specialized to the fixed metric case. Various applications are discussed.

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Patrick L. Combettes, Bang C. Vũ. 2012-06-28. Variable Metric Forward-Backward Splitting with Applications to Monotone Inclusions in Duality. https://arxiv.org/abs/1206.6791

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