A survey on operator splitting and decomposition of convex programs

Abstract : Many structured convex minimization problems can be modeled by the search of a zero of the sum of two monotone operators. Operator splitting methods have been designed to decompose and regularize at the same time these kind of models. We review here these models and the classical splitting methods. We focus on the numerical sensitivity of these algorithms with respect to the scaling parameters that drive the regularizing terms, in order to accelerate convergence rates for different classes of models.
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Philippe Mahey, Arnaud Lenoir. A survey on operator splitting and decomposition of convex programs. RAIRO - Operations Research, EDP Sciences, 2017, 51 (1), pp.14-41. ⟨10.1051/ro/2015065⟩. ⟨hal-01691690⟩

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