A new splitting method for solving composite monotone inclusions involving parallel-sum operators (1505.07946v4)

Abstract: We propose a new primal-dual splitting method for solving composite inclusions involving Lipschitzian, and parallel-sum-type monotone operators. Our approach extends the framework in \cite{Siopt4} to a more general class of monotone inclusions in a nontrivial fashion. The main idea is to represent the solution set of both the primal and dual problems using their associated Kuhn-Tucker set, and then develop a projected method to successively approximate a feasible point of the Kuhn-Tucker set. We propose a splitting algorithm based on the resolvent of each maximally monotone operator to construct a primal-dual sequence that weakly converges to a solution of the original problem. The key feature of our method is that it only employes the resolvent of each monotone operator separately, which is different from existing methods in the literature. As a byproduct, our algorithm can be specialized to solve composite convex minimization problems that uses the proximal-operator of each objective component independently, and is equipped with a weakly convergence guarantee.