Almost sure convergence of the forward-backward-forward splitting algorithm

2015/05/19 by Bằng Công Vũ, Bang Cong Vũ, Vũ, Bang Cong
Computer Science · Decision Sciences · Mathematics · #Optimization and Variational Analysis #Risk and Portfolio Optimization #Stochastic Gradient Optimization Techniques #math.OC

paper · pdf · doi:10.48550/arxiv.1505.05118

arXiv admin note: text overlap with arXiv:1210.2986

arxiv created 2015/05/19 · arxiv updated 2015/05/20

Abstract

In this paper, we propose a stochastic forward-backward-forward splitting algorithm and prove its almost sure weak convergence in real separable Hilbert spaces. Applications to composite monotone inclusion and minimization problems are demonstrated.

Citations

• A variable metric extension of the forward--backward--forward algorithm for monotone operators

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