A new three-operator splitting method for the monotone inclusion problem
This paper studies a class of monotone inclusion problems in a real Hilbert space involving the sum of three operators, where two are maximal monotone and the third is cocoercive. The Davis--Yin three-operator splitting method extends the two-operator splitting methods -- namely the forward-backward method and the Douglas--Rachford method -- to the three-operator setting. In addition, two other common splitting methods for two-operator problems are the reflected forward-backward and forward-reflected-backward methods. While several three-operator extensions exist for each of these methods individually, a unified framework that generalizes both remains absent. This raises the question: can they be extended to the three-operator case within a single algorithm? To address this, we propose a new splitting algorithm that unifies the Douglas--Rachford, reflected forward-backward, and forward-reflected-backward methods as special cases. We prove its weak convergence and establish its sublinear convergence rate for convex optimization problems under appropriate stepsize conditions. Finally, we present numerical experiments to validate the theoretical properties and demonstrate the effectiveness of the proposed method.