Asymmetric Forward-Backward-Adjoint Splitting for Solving Monotone Inclusions Involving Three Operators (1602.08729v3)

Abstract: In this work we propose a new splitting technique, namely Asymmetric Forward-Backward-Adjoint splitting, for solving monotone inclusions involving three terms, a maximally monotone, a cocoercive and a bounded linear operator. Classical operator splitting methods, like Douglas-Rachford and Forward-Backward splitting are special cases of our new algorithm. Asymmetric Forward-Backward-Adjoint splitting unifies, extends and sheds light on the connections between many seemingly unrelated primal-dual algorithms for solving structured convex optimization problems proposed in recent years. More importantly, it greatly extends the scope and applicability of splitting techniques to a wider variety of problems. One important special case leads to a Douglas-Rachford type scheme that includes a third cocoercive operator.