Modified Fej\'er sequences and applications

Abstract

In this note, we propose and study the notion of modified Fej\'{e}r sequences. Within a Hilbert space setting, we show that it provides a unifying framework to prove convergence rates for objective function values of several optimization algorithms. In particular, our results apply to forward-backward splitting algorithm, incremental subgradient proximal algorithm, and the Douglas-Rachford splitting method including and generalizing known results.