Stochastic Forward–Backward Splitting for Monotone Inclusions

Lorenzo Rosasco, Silvia Villa, Bang Công Vũ
2016 Journal of Optimization Theory and Applications  
We propose and analyze the convergence of a novel stochastic algorithm for monotone inclusions that are sum of a maximal monotone operator and a single-valued cocoercive operator. The algorithm we propose is a natural stochastic extension of the classical forward-backward method. We provide a non-asymptotic error analysis in expectation for the strongly monotone case, as
doi:10.1007/s10957-016-0893-2 fatcat:ix6l5fv3xrhgvnlekp3v7toh7q