Adaptive Three Operator Splitting
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Abstract (arXiv)
We propose and analyze an adaptive step-size variant of the Davis-Yin three operator splitting. This method can solve optimization problems composed by a sum of a smooth term for which we have access to its gradient and an arbitrary number of potentially non-smooth terms for which we have access to their proximal operator. The proposed method sets the step-size based on local information of the objective --hence allowing for larger step-sizes--, only requires two extra function evaluations per iteration and does not depend on any step-size hyperparameter besides an initial estimate. We provide an iteration complexity analysis that matches the best known results for the non-adaptive variant: sublinear convergence for general convex functions and linear convergence under strong convexity of the smooth term and smoothness of one of the proximal terms. Finally, an empirical comparison with related methods on 6 different problems illustrates the computational advantage of the proposed method.
Key facts. Cited by 7 papers in the map (data through 7 Oct 2026). First posted on arXiv 6 Apr 2018.
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Citing papers per year: 2021: 3; 2022: 0; 2023: 2; 2024: 2.
7 papers.
- 2023Adaptive proximal algorithms for convex optimization under local Lipschitz continuity of the gradientcited by 19
- 2023Differentiating Through Integer Linear Programs with Quadratic Regularization and Davis-Yin Splittingcited by 11
- 2021A first-order primal-dual method with adaptivity to local smoothnesscited by 7
- 2024Strong Screening Rules for Group-based SLOPE Modelscited by 2
- 2021Stochastic Projective Splitting: Solving Saddle-Point Problems with Multiple Regularizerscited by 1
- 2021Operator Splitting for Learning to Predict Equilibria in Convex Gamescited by 0
- 2024Dual Feature Reduction for the Sparse-group Lasso and its Adaptive Variantcited by 0
- 2024Dual Feature Reduction for the Sparse-group Lasso and its Adaptive Variant27 May 2024
- 2024Strong Screening Rules for Group-based SLOPE Models24 May 2024
- 2023Differentiating Through Integer Linear Programs with Quadratic Regularization and Davis-Yin Splitting31 Jan 2023
- 2023Adaptive proximal algorithms for convex optimization under local Lipschitz continuity of the gradient11 Jan 2023
- 2021A first-order primal-dual method with adaptivity to local smoothness28 Oct 2021
- 2021Stochastic Projective Splitting: Solving Saddle-Point Problems with Multiple Regularizers24 Jun 2021
- 2021Operator Splitting for Learning to Predict Equilibria in Convex Games2 Jun 2021