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arXiv · 1809.06525

Convergence analysis of a variable metric forward-backward splitting algorithm with applications

Abstract

The forward-backward splitting algorithm is a popular operator-splitting method for solving monotone inclusion of the sum of a maximal monotone operator and a cocoercive operator. In this paper, we present a new convergence analysis of a variable metric forward-backward splitting algorithm with extended relaxation parameters in real Hilbert spaces. We prove that this algorithm is weakly convergent when certain weak conditions are imposed upon the relaxation parameters. Consequently, we recover the forward-backward splitting algorithm with variable step sizes. As an application, we obtain a variable metric forward-backward splitting algorithm for solving the minimization problem of the sum of two convex functions, where one of them is differentiable with a Lipschitz continuous gradient. Furthermore, we discuss the applications of this algorithm to the fundamental of the variational inequalities problem, constrained convex minimization problem, and split feasibility problem. Numerical experimental results on LASSO problem in statistical learning demonstrate the effectiveness of the proposed iterative algorithm.

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BibTeXRIS

Fuying Cui, Yuchao Tang, Chuanxi Zhu. 2018-09-18. Convergence analysis of a variable metric forward-backward splitting algorithm with applications. https://doi.org/10.1186/s13660-019-2097-4

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