Extending Douglas-Rachford Splitting for Convex Optimization
Authors
Max Nilsson
Anton Åkerman
Pontus Giselsson
Abstract
The Douglas-Rachford splitting method is a classical and widely used algorithm for solving monotone inclusions involving the sum of two maximally monotone operators. It was recently shown to be the unique frugal, no-lifting resolvent-splitting method that is unconditionally convergent in the general two-operator setting. In this work, we show that this uniqueness does not hold in the convex optimization case: when the operators are subdifferentials of proper, closed, convex functions, a strictly larger class of frugal, no-lifting resolvent-splitting methods is unconditionally convergent. We provide a complete characterization of all such methods in the convex optimization setting and prove that this characterization is sharp: unconditional convergence holds exactly on the identified parameter regions. These results immediately yield new families of convergent ADMM-type and Chambolle-Pock-type methods obtained through their Douglas-Rachford reformulations.
