Splitting Proximal Point Algorithms for the Sum of Prox-Convex Functions

Abstract: This paper addresses the minimization of a finite sum of prox-convex functions under Lipschitz continuity of each component. We propose two variants of the splitting proximal point algorithms proposed in \cite{Bacak,Bertsekas}: one deterministic with a fixed update order, and one stochastic with random sampling, and we extend them from convex to prox-convex functions. We prove global convergence for both methods under standard stepsize a-ssump-tions, with almost sure convergence for the stochastic variant via supermartingale theory. Numerical experiments with nonconvex quadratic functions illustrate the efficiency of the proposed methods and support the theoretical results.