Graph and distributed extensions of the Douglas-Rachford method

Abstract

In this paper, we propose several graph-based extensions of the Douglas-Rachford splitting (DRS) method to solve monotone inclusion problems involving the sum of $N$ maximal monotone operators. Our construction is based on a two-layer architecture that we refer to as bilevel graphs, to which we associate a generalization of the DRS algorithm that presents the prescribed structure. The resulting schemes can be understood as unconditionally stable frugal resolvent splitting methods with a minimal lifting in the sense of Ryu [Math Program 182(1):233-273, 2020], as well as instances of the (degenerate) Preconditioned Proximal Point method, which provides robust convergence guarantees. We further describe how the graph-based extensions of the DRS method can be leveraged to design new fully distributed protocols. Applications to a congested optimal transport problem and to distributed Support Vector Machines show interesting connections with the underlying graph topology and highly competitive performances with state-of-the-art distributed optimization approaches.