Halpern-Type Accelerated and Splitting Algorithms For Monotone Inclusions
This work provides incremental improvements in optimization algorithms for monotone inclusions, potentially benefiting researchers and practitioners in mathematical optimization and machine learning.
The paper tackles the problem of solving maximally monotone equations and monotone inclusions by developing new accelerated algorithms based on Halpern-type fixed-point iterations, achieving an O(1/k) convergence rate with reduced per-iteration complexity, such as requiring only one operator evaluation per iteration in some cases.
In this paper, we develop a new type of accelerated algorithms to solve some classes of maximally monotone equations as well as monotone inclusions. Instead of using Nesterov's accelerating approach, our methods rely on a so-called Halpern-type fixed-point iteration in [32], and recently exploited by a number of researchers, including [24, 70]. Firstly, we derive a new variant of the anchored extra-gradient scheme in [70] based on Popov's past extra-gradient method to solve a maximally monotone equation $G(x) = 0$. We show that our method achieves the same $\mathcal{O}(1/k)$ convergence rate (up to a constant factor) as in the anchored extra-gradient algorithm on the operator norm $\Vert G(x_k)\Vert$, , but requires only one evaluation of $G$ at each iteration, where $k$ is the iteration counter. Next, we develop two splitting algorithms to approximate a zero point of the sum of two maximally monotone operators. The first algorithm originates from the anchored extra-gradient method combining with a splitting technique, while the second one is its Popov's variant which can reduce the per-iteration complexity. Both algorithms appear to be new and can be viewed as accelerated variants of the Douglas-Rachford (DR) splitting method. They both achieve $\mathcal{O}(1/k)$ rates on the norm $\Vert G_γ(x_k)\Vert$ of the forward-backward residual operator $G_γ(\cdot)$ associated with the problem. We also propose a new accelerated Douglas-Rachford splitting scheme for solving this problem which achieves $\mathcal{O}(1/k)$ convergence rate on $\Vert G_γ(x_k)\Vert$ under only maximally monotone assumptions. Finally, we specify our first algorithm to solve convex-concave minimax problems and apply our accelerated DR scheme to derive a new variant of the alternating direction method of multipliers (ADMM).