Emergent Mind
A Tseng type stochastic forward-backward algorithm for monotone inclusions
(2202.09759)
Published Feb 20, 2022
in
math.OC
,
cs.NA
,
and
math.NA
Abstract
In this paper, we propose a stochastic version of the classical Tseng's forward-backward-forward method with inertial term for solving monotone inclusions given by the sum of a maximal monotone operator and a single-valued monotone operator in real Hilbert spaces. We obtain the almost sure convergence for the general case and the rate $\mathcal{O}(1/n)$ in expectation for the strong monotone case. Furthermore, we derive $\mathcal{O}(1/n)$ rate convergence of the primal-dual gap for saddle point problems.
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