Primal-dual splitting for structured composite monotone inclusions with or without cocoercivity

Abstract: In this paper, we propose a primal-dual splitting algorithm for a broad class of structured composite monotone inclusions that involve finitely many set-valued operators, compositions of set-valued operators with bounded linear operators, and single-valued operators possibly without cocoercivity. The proposed algorithm is not only a unification for several contemporary algorithms but also a blueprint to generate new algorithms with graph-based structures. Our approach reduces dimensionality compared with the standard product space technique, which typically reformulates the original problem as the sum of two maximally monotone operators in order to apply splitting methods. It accommodates different cocoercive or Lipschitz constants as well as different resolvent parameters, and yields a larger allowable step-size range than in product space reformulations. We demonstrate the practicality of the approach by a numerical experiment on the decentralized fused lasso problem.