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Convergence Analysis and Applications of the Glowinski–Le Tallec Splitting Method for Finding a Zero of the Sum of Two Maximal Monotone Operators

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Abstract

Many problems of convex programming can be reduced to finding a zero of the sum of two maximal monotone operators. For solving this problem, there exists a variety of methods such as the forward–backward method, the Peaceman–Rachford method, the Douglas–Rachford method, and more recently the θ-scheme. This last method has been presented without general convergence analysis by Glowinski and Le Tallec and seems to give good numerical results. The purpose of this paper is first to present convergence results and an estimation of the rate of convergence for this recent method, and then to apply it to variational inequalities and structured convex programming problems to get new parallel decomposition algorithms.

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Authors and Affiliations

  1. Unité d'Optimisation, Département de Mathématique, Facultés, Universitaires, Notre Dame de la Paix, Namur, Belgium

    S. Haubruge (Assistant)

  2. Unité d'Optimisation, Département de Mathématique, Facultés, Universitaires, Notre Dame de la Paix, Namur, Belgium

    V. H. Nguyen (Professor) & J. J. Strodiot

Authors
  1. S. Haubruge
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  2. V. H. Nguyen
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  3. J. J. Strodiot
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Haubruge, S., Nguyen, V.H. & Strodiot, J.J. Convergence Analysis and Applications of the Glowinski–Le Tallec Splitting Method for Finding a Zero of the Sum of Two Maximal Monotone Operators. Journal of Optimization Theory and Applications 97, 645–673 (1998). https://doi.org/10.1023/A:1022646327085

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