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On the convergence rate of the three operator splitting scheme (1610.07830v5)
Published 25 Oct 2016 in stat.ML and math.OC
Abstract: The three operator splitting scheme was recently proposed by [Davis and Yin, 2015] as a method to optimize composite objective functions with one convex smooth term and two convex (possibly non-smooth) terms for which we have access to their proximity operator. In this short note we provide an alternative proof for the sublinear rate of convergence of this method.