Primal-dual splittings as fixed point iterations in the range of linear operators

Journal of Global Optimization - Tập 85 - Trang 847-866 - 2022
Luis Briceño-Arias1, Fernando Roldán1
1Universidad Técnica Federico Santa María, Valparaíso, Chile

Tóm tắt

In this paper we study the convergence of the relaxed primal-dual algorithm with critical preconditioners for solving composite monotone inclusions in real Hilbert spaces. We prove that this algorithm define Krasnosel’skiĭ-Mann (KM) iterations in the range of a particular monotone self-adjoint linear operator with non-trivial kernel. Our convergence result generalizes (Condat in J Optim Theory Appl 158: 460–479, 2013, Theorem 3.3) and follows from that of KM iterations defined in the range of linear operators, which is a real Hilbert subspace under suitable conditions. The Douglas–Rachford splitting (DRS) with a non-standard metric is written as a particular instance of the primal-dual algorithm with critical preconditioners and we recover classical results from this new perspective. We implement the algorithm in total variation reconstruction, verifying the advantages of using critical preconditioners and relaxation steps.

Tài liệu tham khảo

Aubin, J.P., Frankowska, H.: Set-valued Analysis. Modern Birkhäuser Classics, Birkhäuser Boston, Inc., Boston, MA (2009) https://doi.org/10.1007/978-0-8176-4848-0 Bauschke, H.H.: New demiclosedness principles for (firmly) nonexpansive operators. In: Bailey, D.H., Bauschke, H.H., Borwein, P., Garvan, F., Théra, M., Vanderwerff, J.D., Wolkowicz, H. (eds.) Computational and Analytical Mathematics. Springer Proceedings in Mathematics & Statistics 50, pp. 19–28. Springer, New York (2013) https://doi.org/10.1007/978-1-4614-7621-4_2 Bauschke, H.H., Combettes, P.L.: Convex analysis and monotone operator theory in Hilbert spaces. Springer, New York (2017) Bauschke, H.H., Moursi, W.M.: On the Douglas-Rachford algorithm. Math. Program. 164, 263–284 (2017). https://doi.org/10.1007/s10107-016-1086-3 Boţ, R.I., Csetnek, E.R., Heinrich, A.: A primal-dual splitting algorithm for finding zeros of sums of maximal monotone operators. SIAM J. Optim. 23, 2011–2036 (2013). https://doi.org/10.1137/12088255X Boţ, R.I., Hendrich, C.: A Douglas-Rachford type primal-dual method for solving inclusions with mixtures of composite and parallel-sum type monotone operators. SIAM J. Optim. 23, 2541–2565 (2013). https://doi.org/10.1137/120901106 Briceño, L., Cominetti, R., Cortés, C.E., Martínez, F.: An integrated behavioral model of land use and transport system: a hyper-network equilibrium approach. Netw. Spat. Econ. 8, 201–224 (2008). https://doi.org/10.1007/s11067-007-9052-5 Briceño-Arias, L.M., Combettes, P.L.: A monotone + skew splitting model for composite monotone inclusions in duality. SIAM J. Optim. 21, 1230–1250 (2011). https://doi.org/10.1137/10081602X Briceño-Arias, L.M., Combettes, P.L.: Monotone operator methods for Nash equilibria in non-potential games. In: Bailey, D.H., Bauschke, H. H., Borwein, P., Garvan, F., Théra, M., Vanderwerff, J., and Wolkowicz, H. (eds.) Computational and Analytical Mathematics. Springer Proceedings in Mathematics & Statistics 50, pp. 143–159. Springer, New York (2013) https://doi.org/10.1007/978-1-4614-7621-4_9 Briceño-Arias, L.M., Davis, D.: Forward-backward-half forward algorithm for solving monotone inclusions. SIAM J. Optim. 28, 2839–2871 (2018). https://doi.org/10.1137/17M1120099 Briceño-Arias, L.M., Deride, J., Vega, C.: Random activations in primal-dual splittings for monotone inclusions with a priori information. J. Optim. Theory Appl. 192, 56–81 (2022). https://doi.org/10.1007/s10957-021-01944-6 Briceño-Arias, L.M., López Rivera, S.: A projected primal-dual method for solving constrained monotone inclusions. J. Optim. Theory Appl 180, 907–924 (2019). https://doi.org/10.1007/s10957-018-1430-2 Briceño-Arias, L.M., Roldán, F.: Split-Douglas-Rachford algorithm for composite monotone inclusions and split-ADMM. SIAM J. Optim. 31, 2987–3013 (2021). https://doi.org/10.1137/21M1395144 Chambolle, A.: An algorithm for total variation minimization and applications. J. Math. Imaging Vision 20, 89–97 (2004). https://doi.org/10.1023/B:JMIV.0000011320.81911.38 Chambolle, A., Caselles, V., Cremers, D., Novaga, M., Pock, T.: An introduction to total variation for image analysis. In: Fornasier, M. (ed.) Theoretical Foundations and Numerical Methods for Sparse Recovery. Radon Ser. Comput. Appl. Math. 9., pp. 263–340. Walter de Gruyter, Berlin (2010) https://doi.org/10.1515/9783110226157.263 Chambolle, A., Lions, P.L.: Image recovery via total variation minimization and related problems. Numer. Math. 76, 167–188 (1997). https://doi.org/10.1007/s002110050258 Chambolle, A., Pock, T.: A first-order primal-dual algorithm for convex problems with applications to imaging. J. Math. Imaging Vision 40, 120–145 (2011). https://doi.org/10.1007/s10851-010-0251-1 Colas, J., Pustelnik, N., Oliver, C., Abry, P., Géminard, J.-C., Vidal, V.: Nonlinear denoising for characterization of solid friction under low confinement pressure. Phys. Rev. E 100, 032803 (2019). https://doi.org/10.1103/PhysRevE.100.032803 Combettes, P.L.: Quasi-Fejérian analysis of some optimization algorithms. In: Butnariu, D., Censor, Y., Reich, S. (eds.) Inherently parallel algorithms in feasibility and optimization and their applications. Stud. Comput. Math. 8, pp. 115–152. North-Holland, Amsterdam (2001) https://doi.org/10.1016/S1570-579X(01)80010-0 Combettes, P.L.: Solving monotone inclusions via compositions of nonexpansive averaged operators. Optimization 53, 475–504 (2004). https://doi.org/10.1080/02331930412331327157 Combettes, P.L., Pesquet, J.-C.: Primal-dual splitting algorithm for solving inclusions with mixtures of composite, Lipschitzian, and parallel-sum type monotone operators. Set-Valued Var. Anal. 20, 307–330 (2012). https://doi.org/10.1007/s11228-011-0191-y Combettes, P.L., Vũ, B.C.: Variable metric quasi-Fejér monotonicity. Nonlinear Anal. 78, 17–31 (2013). https://doi.org/10.1016/j.na.2012.09.008 Combettes, P.L., Vũ, B.C.: Variable metric forward-backward splitting with applications to monotone inclusions in duality. Optimization 63, 1289–1318 (2014). https://doi.org/10.1080/02331934.2012.733883 Condat, L.: A primal-dual splitting method for convex optimization involving Lipschitzian, proximable and linear composite terms. J. Optim. Theory Appl. 158, 460–479 (2013). https://doi.org/10.1007/s10957-012-0245-9 Daubechies, I., Defrise, M., De Mol, C.: An iterative thresholding algorithm for linear inverse problems with a sparsity constraint. Comm. Pure Appl. Math. 57, 1413–1457 (2004). https://doi.org/10.1002/cpa.20042 Davis, D.: Convergence rate analysis of primal-dual splitting schemes. SIAM J. Optim. 25, 1912–1943 (2015). https://doi.org/10.1137/151003076 Eckstein, J., Bertsekas, D.P.: On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators. Math. Program. 55, 293–318 (1992). https://doi.org/10.1007/BF01581204 Fukushima, M.: The primal Douglas-Rachford splitting algorithm for a class of monotone mappings with application to the traffic equilibrium problem. Math. Program. 72, 1–15 (1996). https://doi.org/10.1016/0025-5610(95)00012-7 Gabay, D.: Chapter IX applications of the method of multipliers to variational inequalities. In: Fortin, M. and Glowinski, R. (eds.) Augmented Lagrangian Methods: Applications to the Numerical Solution of Boundary-Value Problems. Studies in Mathematics and Its Applications 15, pp. 299–331. Elsevier (1983) https://doi.org/10.1016/S0168-2024(08)70034-1 Gafni, E.M., Bertsekas, D.P.: Two-metric projection methods for constrained optimization. SIAM J. Control Optim. 22, 936–964 (1984). https://doi.org/10.1137/0322061 Glowinski, R., Marrocco, A.: Sur l’approximation, par éléments finis d’ordre un, et la résolution, par pénalisation-dualité, d’une classe de problèmes de Dirichlet non linéaires. Rev. Française Automat. Informat. Recherche Opérationnelle Sér. Rouge Anal. Numér. 9, 41–76 (1975) Goldstein, A.A.: Convex programming in Hilbert space. Bull. Amer. Math. Soc. 70, 709–710 (1964). https://doi.org/10.1090/S0002-9904-1964-11178-2 Hansen, P.C., Nagy, J.G., O’Leary, D.P.: Deblurring Images: Matrices, Spectra, and Filtering. Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA (2006) https://doi.org/10.1137/1.9780898718874 He, B., Yuan, X.: Convergence analysis of primal-dual algorithms for a saddle-point problem: from contraction perspective. SIAM J. Imaging Sci. 5, 119–149 (2012). https://doi.org/10.1137/100814494 Lions, P.L., Mercier, B.: Splitting algorithms for the sum of two nonlinear operators. SIAM J. Numer. Anal. 16, 964–979 (1979). https://doi.org/10.1137/0716071 Mallat, S.: A wavelet tour of signal processing: the sparse way. Elsevier/Academic Press, Amsterdam (2009) Martinet, B.: Brève communication. régularisation d’inéquations variationnelles par approximations successives. ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique 4, 154–158 (1970) http://www.numdam.org/item/M2AN_1970__4_3_154_0 Mises, R.V., Pollaczek-Geiringer, H.: Praktische verfahren der gleichungsauflösung. Z. Angew. Math. Mech. (1929). https://doi.org/10.1002/zamm.19290090206 Molinari, C., Peypouquet, J., Roldan, F.: Alternating forward-backward splitting for linearly constrained optimization problems. Optim. Lett. 14, 1071–1088 (2020). https://doi.org/10.1007/s11590-019-01388-y Pock, T., Chambolle, A.: Diagonal preconditioning for first order primal-dual algorithms in convex optimization. In: 2011 international conference on computer vision, pp. 1762–1769 (2011) https://doi.org/10.1109/ICCV.2011.6126441 Rockafellar, R.T.: Monotone operators and the proximal point algorithm. SIAM J. Control Optim. 14, 877–898 (1976). https://doi.org/10.1137/0314056 Rudin, L.I., Osher, S., Fatemi, E.: Nonlinear total variation based noise removal algorithms. Phys. D. 60, 259–268 (1992). https://doi.org/10.1016/0167-2789(92)90242-F Showalter, R.E.: Monotone operators in banach space and nonlinear partial differential equations. Mathematical surveys and monographs 49, American mathematical society, Providence, RI (1997) https://doi.org/10.1090/surv/049 Svaiter, B.F.: On weak convergence of the Douglas-Rachford method. SIAM J. Control Optim. 49, 280–287 (2011). https://doi.org/10.1137/100788100 Vũ, B.C.: A splitting algorithm for dual monotone inclusions involving cocoercive operators. Adv. Comput. Math. 38, 667–681 (2013). https://doi.org/10.1007/s10444-011-9254-8 Yang, Y., Tang, Y., Wen, M., Zeng, T.: Preconditioned Douglas-Rachford type primal-dual method for solving composite monotone inclusion problems with applications. Inverse Probl. Imaging 15, 787–825 (2021). https://doi.org/10.3934/ipi.2021014