2000 character limit reached
A Tseng type stochastic forward-backward algorithm for monotone inclusions (2202.09759v1)
Published 20 Feb 2022 in math.OC, cs.NA, and math.NA
Abstract: In this paper, we propose a stochastic version of the classical Tseng's forward-backward-forward method with inertial term for solving monotone inclusions given by the sum of a maximal monotone operator and a single-valued monotone operator in real Hilbert spaces. We obtain the almost sure convergence for the general case and the rate $\mathcal{O}(1/n)$ in expectation for the strong monotone case. Furthermore, we derive $\mathcal{O}(1/n)$ rate convergence of the primal-dual gap for saddle point problems.