Mathematics of Operations Research
A Parallel Splitting Method for Coupled Monotone Inclusions
SIAM Journal on Control and Optimization
Cooperation and competition in multidisciplinary optimization
Computational Optimization and Applications
Fast Algorithms for Image Reconstruction with Application to Partially Parallel MR Imaging
SIAM Journal on Imaging Sciences
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Given two objective functions $f:\mathcal X\mapsto\R\cup\{+\infty\}$ and $g:\mathcal Y\mapsto\R\cup\{+\infty\}$ on abstract spaces $\mathcal X$ and $\mathcal Y$, and a coupling function $c:\mathcal X\times\mathcal Y\mapsto\R^+$, we introduce and study alternative minimization algorithms of the following type: $(x_0,y_0)\in\mathcal X\times\mathcal Y \mbox{ given; } (x_n,y_n)\rightarrow(x_{n+1},y_n)\rightarrow(x_{n+1},y_{n+1}) \mbox{ as follows: }\ \left\{\begin{array}{l} x_{n+1}\in\mbox{argmin} \{f(\xi)+\beta_n c(\xi,y_n)+\alpha_n h(x_n,\xi): \xi\in\mathcal X\},\ y_{n+1}\in\mbox{argmin} \{g(\eta)+\mu_n c(x_{n+1},\eta)+\nu_n k(y_n,\eta): \eta\in\mathcal Y\}. \end{array}\right.$ Their most original feature is the introduction of the terms $h:\mathcal X\times\mathcal X\mapsto\R^+$ and $k:\mathcal Y\times\mathcal Y\mapsto\R^+$ which are costs to change or to move (distance-like functions, relative entropies) accounting for various inertial, friction, or anchoring effects. These algorithms are studied in a general abstract framework. The introduction of the costs to change $h$ and $k$ leads to proximal minimizations with corresponding dissipative effects. As a result, the algorithms enjoy nice convergent properties. Coefficients $\alpha_n$, $\beta_n$, $\mu_n$, $\nu_n$ are nonnegative parameters. When taking $\alpha_n=\nu_n=0$ and quadratic costs on a Hilbert space, one recovers the classical alternating minimization algorithm, which itself is a natural extension of the alternating projection algorithm of von Neumann. A number of new significant results hold in general metric spaces. We pay particular attention to the following cases: (1.) $(\mathcal X,d_{\mathcal X})$ and $(\mathcal Y,d_{\mathcal Y})$ are complete metric spaces and $h\geq d_{\mathcal X}$, $k\geq d_{\mathcal Y}$ (“high local costs to move”); the algorithms then provide sequences that converge to Nash equilibria. (2.) $\mathcal X=\mathcal Y=\mathcal H$ is a Hilbert space, the costs to change are quadratic (“low local costs to move”) and the functions $f,g:\mathcal H\mapsto\R\cup\{+\infty\}$ are closed, convex, proper; then some of the classical convergence theorems for alternating convex minimization algorithms, including those of Acker and Prestel, are properly extended with original proofs.